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This study was the first to our knowledge to investigate suicide completers in a specific diagnostic category by using a case-control design. Thus, 104 male depressed suicide completers and 74 living depressed male comparison subjects were investigated by means of the psychological autopsy method to better define the risk factors for suicide in major depressive disorder. We found that current alcohol abuse/dependence and the presence of a cluster B personality disorder were two independent risk factors for suicide among depressed individuals. In addition, we found that impulsive and aggressive behaviors were associated with suicide, but this association was not independent of cluster B and alcohol abuse in relation to suicide. These risk factors seem to play a larger role in younger suicide victims (ages 18–40). Further studies should be carried out to investigate the external validity of these findings, particularly among women and in other diagnostic categories associated with suicide, such as schizophrenia.