The purpose of this study was to examine whether physical activities were related to suicidal behaviors in gay, lesbian, and bisexual Korean adolescents. In 2015, 68,043 adolescents participated in the 11th Korea Youth Risk Behavior Web-Based Survey project. However, only 628 of these 68,043 participants provided enough information about their romantic and sexual behavior to be categorized as gay or bisexual boys (n = 430) and lesbian or bisexual girls (n = 198). The relationship between physical activities and suicidal behaviors was evaluated by multivariate logistic regression analysis after adjustment for covariate variables such as economic status of the family, mental stress, frequency of smoking, and frequency of drinking. There were no significant relationships between muscle-strengthening exercises and the suicidal behavior categories of seriously considered, planned, and attempted in both gay or bisexual boys and lesbian or bisexual girls. Additionally, there were no significant relationships between vigorous physical activity and the suicidal behavior categories of seriously considered, planned, and attempted in gay or bisexual boys. However, there were slightly significant relationships between light physical activity (walking) and suicidal behavior in both gay or bisexual boys and lesbian or bisexual girls (p<0.05). We concluded that light physical activity such as walking might be associated with suicidal behaviors in gay, lesbian, and bisexual Korean adolescents.