Contextual factors varying by residence in rural or urban areas may have different effects on the suicide of residents by nativity, but evidence on the urban-rural gap in suicide according to nativity is lacking. This study aims to evaluate the effect of cross-level interaction between nativity and rurality of residence on suicide risk, at two levels of aggregation (municipalities/neighborhoods). Study design was nationwide register-based cohort study in Sweden, 2011–2016. Participants were all residents 20 years or older. We calculated Incidence Rate Ratios comparing suicide incidence by nativity using three-level (individuals, neighborhoods, and municipalities) Poisson regression, stratified by gender. Among men, suicide incidences were the highest among those born in other Nordic countries, followed by those born in Sweden, other European countries, Middle Eastern countries, and the rest of the world. Residing in rural areas was associated with high IRR of suicide regardless of nativity, compared to residing in urban areas. When evaluating rurality at municipality level, we observed an increased suicide risk from living in rural areas in men born in other European (rural-urban ratio of nativity-specific IRRs: 1.39) and other Nordic (1.37) countries, followed by native Swedes (1.22). When evaluating rurality at neighborhood level, rurality was associated with increased suicide risk in men for all nativities, with the foreign-born showing higher risk than the Swedish-born. Individual sociodemographic characteristics explained the excess suicide risk in rural municipalities, but not the excess risk in rural neighborhoods. Among women, urban residents showed higher suicide incidence than rural residents. We found no consistent patterning of interaction with nativities among women. Foreign-born individuals residing in rural municipalities may have less access to economic resources and employment opportunities. Furthermore, ethnic discrimination, stigma, and exclusion from social networks and community may be more common in rural neighborhood contexts, leading to an increased risk of suicide.