The role of psychological pain in the risk of suicide was explored using a three-dimensional psychological pain model (pain arousal, painful feelings, pain avoidance). The sample consisted of 111 outpatients with major depressive episodes, including 28 individuals with suicidal histories. They completed the Chinese version of the Beck Scale for Suicide Ideation (BSI), the Beck Depression Inventory (BDI), the Psychache Scale, and the three-dimensional Psychological Pain Scale (TDPPS). A structured clinical interview was conducted to assess the history of suicidal acts. Significant correlations were found among BDI, BSI, and TDPPS scores (p < .01). Stepwise regression analyses showed that only pain avoidance scores significantly predicted suicide ideation at one's worst point (β = .79, p < .001) and suicidal acts (β = .46, p < .001). Pain avoidance was also a better predictor of current suicidal ideation (β = .37, p = .001) than were BDI scores (β = .31, p < .01). Increased levels of pain avoidance during a major depressive episode may be a dominant component of the motivation for suicide. Future clinical assessments for populations at high risk of suicide should include measures of psychological pain to reduce the incidence of suicide.