Background: The Internet has facilitated the existence of extreme and pathological communities that share information about ways to complete suicide or to deliberately harm or hurt oneself. This material is user-generated and easily accessible. Aims: The present study analyzed the buffering effect of social belonging to a primary group in the situation of pro-suicide site exposure. Method: Cross-national data were collected from the US, UK, Germany, and Finland in spring 2013 and 2014 from respondents aged 15–30 years (N = 3,567). Data were analyzed by using linear regression separately for women and men for each country. Results: A higher level of belonging to a primary group buffered the negative association of pro-suicide site exposure with mental health, measured as happiness, although the results were not consistent in the subgroups. US male subjects showed a significant buffering effect of the sense of belonging to family while the belonging to friends had a buffering effect among four other subgroups: British female and male subjects and Finnish female and male subjects. Conclusion: The results underline the positive potential of primary groups to shield young people’s mental health in the situation of pro-suicide site exposure.