The interpersonal‐psychological theory of suicide (IPTS; Joiner, 2005) provides a model for understanding the mechanisms underlying suicide risk, but there is limited research measuring change in the constructs over the course of treatment. This study aimed to test whether changes in perceived burdensomeness (PB) and thwarted belongingness (TB) mediated the effects of changes in depression and hopelessness on suicide risk. The sample comprised 226 Australian young people (aged 12–24; 67.7% female; 5.7% Aboriginal and Torres Strait Islander) receiving short‐term psychological treatment for suicide‐related behaviors. Change scores over the course of therapy were generated using admission and discharge measures of PB, TB, depression, hopelessness, and suicide risk. Results revealed partial support for the theory. The relationship between changes in depression and hopelessness on suicide risk was fully mediated by changes in PB. However, changes in TB did not mediate these relationships. This study offers encouragement for the potential use of the IPTS in the context of psychological treatment of young people. Assessment of the IPTS constructs may be helpful in assessing change in suicide risk and further assist in treatment.