The purpose of this study was to examine and compare depression and suicide literacy among Canadian sexual and gender minorities (SGM). 2778 individuals identifying as SGM completed an online survey comprised of the 22-item depression literacy scale (D-LIT) and the 12-item literacy of suicide scale (LOSS). Relationships between depression and suicide literacy and demographic characteristics were evaluated using multivariable linear regression. Overall, SGM correctly answered 71.3% of the questions from the D-LIT and 76.5% of the LOSS. D-LIT scores were significantly lower among cisgender men and D-LIT and LOSS scores were lower among transgender women when compared to cisgender women. LOSS and D-LIT scores were significantly lower among SGM without a university degree (compared to those with a university degree) and among SGM from ethnic minority groups (compared to white SGM). D-LIT scores, but not LOSS scores, were significantly lower among Indigenous SGM compared to white SGM. The findings provide evidence of differences in suicide and depression literacy between SGM sub-groups along multiple social axes. Interventions to increase depression and suicide literacy should be prioritized as part of a mental health promotion strategy for SGM, targeting sub-groups with lower literacy levels, including cisgender men, transgender women, Indigenous people, racialized minorities, and those without a university degree.