Background Suicidal behaviour has long been recognized to vary widely between countries. Yet, rates of suicidal behaviour do not only vary between, but also within countries. Gender and socioeconomic differences in suicidal behaviour are well established, but the literature on suicidal behaviour and migrants is sparse, particularly in Belgium. The present study maps out the occurrence of suicide mortality across three of the largest migrant groups (Italians, Turks and Moroccans) versus the native population in Belgium, and verifies whether this association persists after accounting for socioeconomic variables. Methods Census-linked mortality follow-up data covering the period 2001–2011 were used to probe into suicide mortality. To compare absolute differences by migrant background, indirect standardisation analyses were carried out. To assess relative differences, Cox proportional hazards models were performed. Analyses were restricted to 18- to 64-year-olds. Results Belgian men and women have the highest suicide mortality risk, persons of Moroccan/Turkish origin the lowest, and Italians are somewhere in between. When migration generation is considered, the risk is higher for second-generation groups compared to that of the first-generation. Accounting for socioeconomic determinants, the difference between the native population and the various nationality groups intensifies. Conclusion Although the risk is generally lower for minorities compared to the majority population, the results across migration generations underscore minorities’ increased vulnerability to suicide over time. Future research should focus on understanding the risks and protective factors of suicidal behaviour across different nationality groups. This way, tailored policy recommendations can be developed in order to tackle the burden of suicide.