Background: Epidemiological studies have shown increased risk of suicide in cancer patients compared with the general population. The present study aimed to examine the association between physical symptoms and suicidal ideation in Chinese hospitalized cancer patients and test the modifying effect of health self-efficacy on the association. Methods: A cross-sectional study was conducted with 544 hospitalized cancer patients in two general hospitals in northeast China via face-to-face interviews. Suicidal ideation was measured by using the first four items on the Yale Evaluation of Suicidality scale and then dichotomized into a positive and negative score. Multivariate logistic regression analyses were conducted to examine the impacts of physical symptoms, health self-efficacy, and their interactions on suicidal ideation. Results: The suicidal ideation rate was 26.3% in the enrolled cancer patients. Logistic regression showed that insomnia (aOR = 1.84, 95% CI 1.13 to 3.00, p = 0.015) and lack of appetite (aOR = 2.14, 95% CI 1.26 to 3.64, p = 0.005) were significantly associated with suicidal ideation. Low health self-efficacy had a marginally significant exaggerating effect on the association between pain and suicidal ideation (aOR = 2.77, 95% CI 0.99 to 7.74, p = 0.053), after adjusting for significant socio-demographics, clinical characteristics, and depression. Conclusions: These findings demonstrate significant associations between physical symptoms (insomnia and/or lack of appetite) and suicidal ideation and highlight the potential modifying role of health self-efficacy in the identification and prevention of suicide among cancer patients.