Objective Effective suicide prevention is hindered by a limited understanding of the neurobiology leading to suicide. We aimed to examine the association between changes in the experience of pain and disturbances in sleep quantity and quality in patients with elevated risk for suicide. Methods Three groups of adult depressed individuals, including patients following a recent suicide attempt (n = 79), patients experiencing current suicidal ideation (n = 131), and patients experiencing depression but no suicidal ideation or behavior in at least 6 months (n = 51), were examined in a case-control study for sleep quantity and quality, physical and psychological pain, pressure pain threshold, suicidal ideation, and recent suicidal behavior. Results Sleep quality, physical and psychological pain were positively associated with suicidal ideation severity. In both cases in which sleep quality was added to a model with either physical or psychological pain, physical or psychological pain became more significantly associated with suicidal ideation severity. Pressure pain threshold was elevated in patients suffering from any type of insomnia. There was no significant association between pressure pain threshold and suicidal ideation severity. Conclusions The impact of these findings lies in the identification of both psychological and physical pain, and sleep quality as potential biological mechanisms underlying suicidal risk.