Objective This cross‐sectional study investigated the association of physical and social anhedonia with suicidality in patients with major depressive disorder (MDD), schizophrenia, and in non‐psychiatric controls. Method All participants completed the revised Physical Anhedonia Scale (RPAS) and the revised Social Anhedonia Scale (RSAS) and were subdivided according to positive life‐time suicide attempt history. MDD patients were evaluated with the Montgomery‐Ãsberg Depression Rating Scale (MADRS), healthy respondents with the Patient Health Questionnaire‐9 (PHQ‐9), and schizophrenia patients with the Calgary Depression Scale for Schizophrenia (CDSS). Results In 683 study participants, the prevalence of each anhedonia was the highest in MDD, followed by schizophrenia, and lowest in the control group. Among MDD patients, those with physical and social anhedonia had greater rates of recent suicidal ideation, while a higher frequency of individuals with life‐time suicide attempts was detected in those with only social anhedonia. In contrast, no association between either anhedonia and life‐time suicide attempts or recent suicidal ideation was found in patients with schizophrenia. Conclusions Assessing social and physical anhedonia might be important in MDD patients, given its association with both life‐time suicide attempts and recent suicidal ideation. Suicidality in schizophrenia, while unrelated to anhedonia, might include other risk factors.