Objective Amongst psychiatric disorders, major depressive disorder (MDD) is the most prevalent, by affecting approximately 15–17% of the population and showing a high suicide risk rate equivalent to around 15%. The present comprehensive overview aims at evaluating main research studies in the field of MDD at suicide risk, by proposing as well as a schematic suicide risk stratification and useful flow-chart for planning suicide preventive and therapeutic interventions for clinicians. Methods A broad and comprehensive overview has been here conducted by using PubMed/Medline, combining the search strategy of free text terms and exploded MESH headings for the topics of ‘Major Depressive Disorder’ and ‘Suicide’ as following: ((suicide [Title/Abstract]) AND (major depressive disorder [Title/Abstract])). All articles published in English through May 31, 2019 were summarized in a comprehensive way. Results Despite possible pathophysiological factors which may explain the complexity of suicide in MDD, scientific evidence supposed the synergic role of genetics, exogenous and endogenous stressors (i.e., interpersonal, professional, financial, as well as psychiatric disorders), epigenetic, the hypothalamic-pituitary-adrenal stress-response system, the involvement of the monoaminergic neurotransmitter systems, particularly the serotonergic ones, the lipid profile, neuro-immunological biomarkers, the Brain-derived neurotrophic factor and other neuromodulators. Conclusion The present overview reported that suicide is a highly complex and multifaceted phenomenon in which a large plethora of mechanisms could be variable implicated, particularly amongst MDD subjects. Beyond these consideration, modern psychiatry needs a better interpretation of suicide risk with a more careful assessment of suicide risk stratification and planning of clinical and treatment interventions.