First demonstrated in 1976, the robust association between smoking and suicide mortality has been established and is dose-dependent, with an estimated increase in suicidal deaths risk of 24% for each increment of 10 cigarettes smoked per day. The statistical association has been shown to exist very soon after smoking initiation, during adolescence, and to withstand adjustments for confounding factors, such as demographics, socio-economic status, somatic and psychiatric comorbidity, and substance use. As the underlying mechanism of the greater suicide risk in smokers is not currently elucidated, we will briefly recapitulate the main hypotheses proposed to date: the toxic effects of nicotine, hypoxemia, monoamine oxidase activity inhibition, the high prevalence of psychiatric comorbidity and consequent suicide risk, and smoking-induced serious physical illness with pain and disability resulting in negative mood response. Smoking could also be an inadequate self-medication for psychological symptoms, themselves causing suicide, and finally the association could be due to a third underlying factor associated with both smoking and suicide.