Pregnant women are at increased risk for suicidal ideation and behaviours (SIB) compared to the general population. To date, studies have focused on the psychiatric correlates of SIB with lesser attention given to the associated contextual risk factors, particularly in low- and middle-income countries. We investigated the prevalence and associated psychiatric and socio-economic contextual factors for SIB among pregnant women living in low resource communities in South Africa. Three hundred seventy-six pregnant women were evaluated using a range of tools to collect data on socio-economic and demographic factors, social support, life events, interpersonal violence and mental health diagnoses. We examined the significant risk factors for SIB using univariate, bivariate and logistic regression analyses (p ≤ 0.05). The 1-month prevalence of SIB was 18%. SIB was associated with psychiatric illness, notably major depressive episode (MDE) and any anxiety disorder. However, 67% of pregnant women with SIB had no MDE diagnosis, and 65% had no anxiety disorder, while 54% had neither MDE nor anxiety disorder diagnoses. Factors associated with SIB included lower socio-economic status, food insecurity, interpersonal violence, multiparousity, and lifetime suicide attempt. These findings focus attention on the importance of socio-economic and contextual factors in the aetiology of SIB and lend support to the idea that suicide risk should be assessed independently of depression and anxiety among pregnant women.