Young Chinese gay men are at a high risk of suicide and experience severe culture-related sexual minority stigma. Little research has investigated the relation between sexual minority stigma and suicide risk from a traditional Chinese cultural perspective. This study used minority stress theory and psychological mediation framework to investigate a moderated mediation model of sexual minority stigma, nonsuicidal self-injury (NSSI), suicide risk, and filial piety belief (FPB; including reciprocal and authoritarian). A total of 291 young Chinese gay men (aged 18–30, Mage = 23.7 years, SD = 3.5) participated in this study. A significant positive indirect relation of sexual minority stigma to suicide risk through NSSI was found. Reciprocal FPB moderated the relation of NSSI to suicide risk, but did not moderate the relations of sexual minority stigma with NSSI or suicide risk. Specifically, a higher level of reciprocal FPB buffered the relation of NSSI to suicide risk. Authoritarian FPB did not moderate any relations in the model. These findings suggest interventions focusing on NSSI may reduce the effect of sexual minority stigma on suicide risk. Therapists and educators may consider the beneficial but limited impact of reciprocal FPB on psychological crisis intervention among young Chinese gay men.