Social factors play a crucial role in moderating the impact of severe stressful events on mental health. Exposure to harassment, hence to unwanted negative behavior that is intended to cause harm and/or is perceived as harmful and hostile, is a social factor thought to have particularly strong negative effects on mental health, including depressive symptoms and suicidal behavior. However, little is known about mediating mechanisms. Using data of N = 1,483 participants 12 months following military deployment, the hypothesis was examined that the cross-sectional association of perceived harassment with depressive symptoms and risk for suicidal behavior (suicide ideation and plans) is partially mediated by increased perceived mental health stigma and nondisclosure. Mediation analyses were performed using path analysis. Harassment was associated with depressive symptoms and risk for suicidal behavior. When investigated separately, both nondisclosure and perceived stigma partially mediated the association of harassment with depressive symptoms and with suicidal behavior. When considered simultaneously, both nondisclosure and, to a lesser extent, perceived stigma partially mediated the association of harassment with depressive symptoms, but only nondisclosure mediated the association of harassment with suicidal behavior. These results are consistent with the assumption that nondisclosure and perceived mental health stigma following harassment contribute to depressive symptoms and risk for suicidal behavior, whereby nondisclosure is more relevant compared to perceived stigma. Nondisclosure could lead to adverse outcomes by increasing distress, limiting social support, and inhibiting help-seeking.