Evidence suggests that nightmares increase the risk of suicide and self-harm, independently of insomnia, PTSD, anxiety and depression. A better understanding of this relationship is vital for the development of effective suicide and self-harm interventions. A systematic review of the research investigating the mechanisms underlying the nightmare and suicide/self-harm relationship was therefore conducted. Findings from twelve studies were critically appraised and synthesised under the headings of affect/emotion regulation, cognitive appraisals, psychosocial factors, acquired capability and depression. Despite clear variability in the methodology employed by the studies, the initial evidence suggests cognitive appraisals and affect/emotion regulation play a key role in the nightmare and suicide/self-harm relationship. Consideration is given for the first time to the differences in the mechanisms underlying the relationship between nightmares and suicide. In order to further elucidate and support these findings however, future research utilising longitudinal designs, objective measures of sleep disturbance and investigating the emotional content of nightmares is vital. There is also a call for studies investigating the impact of nightmare interventions on subsequent suicidal thoughts and behaviours, and self-harm. This is especially so given that individuals might find it easier to seek help for nightmares than for suicidality or self-harm.