Background Suicidal ideation is thinking about suicide/serving as the agent of one’s own death. Patients with a major depressive disorder are the highest group which are affected by suicidal ideation. It is a pre-condition for suicide attempts and to commit suicide among major depressive patients. Suicidal behavior and major depressive disorder have been becoming the main attention in recent years. In Ethiopia, there is limited knowledge of suicidal ideation among major depressive disorder patients and the factors of suicidal ideation are also limited. Objective This study assessed the prevalence of suicidal ideation and its associated factors among major depressive disorder patients at Amanuel Mental Specialized Hospital, Ethiopia. Methods A cross-sectional study was conducted from March 1–30, 2019. A total of 337 major depressive disorder patients were successfully interviewed using structured and pre-tested questionnaires. A systematic random sampling technique was applied. Logistic regression was applied to identify factors of suicidal ideation. Statistical significance was considered at P-value < 0.05. Results In this study, the prevalence of suicidal ideation among major depressive disorder patients was 48.4%. Being female (AOR 2.4, 95% CI=1.40, 4.25), family history of suicide (AOR 3.2, 95% CI=1.26, 8.11), and having poor social support (AOR 4.2, 95% CI=2.29, 7.59) were significantly associated with suicidal ideation among patients with major depressive disorder. Conclusion The prevalence of suicidal ideation among major depressive disorder patients was relatively high. Hence, due attention should be given to the screening of suicidal ideation for all patients with major depressive disorder to initiate timely interventions.