Stress and Hypothalamic–Pituitary–Adrenal (HPA) axis dysregulation play a major role in various pathophysiological processes associated with both mood disorders and suicidal behavior. We conducted a systematic review with the primary aim of clarifying the nature and extent of HPA axis activity and suicidal behavior. The second aim of this review was to investigate whether potential biomarkers related to HPA axis abnormalities act as individual susceptibility factors for suicide. The PRISMA statement for reporting systematic reviews was used. Only articles published in English peer-reviewed journals were considered for possible inclusion; we excluded case reports, meta-analyses, and systematic reviews, and studies that did not clearly report statistical analysis, diagnostic criteria, or the number of patients included. Overall, 36 articles on HPA axis and suicide risk met inclusion criteria and were reviewed. Studies that investigated tests detecting biomarkers and the role of early life stressors in suicide risk were also included. We found that HPA axis activity is involved in suicide risk, regardless of the presence or absence of psychiatric conditions. The HPA axis abnormalities, mainly characterized by hyperactivity of the HPA axis, may exert an important modulatory influence on suicide risk. Impaired stress response mechanisms contribute to suicide risk. Targeting HPA axis dysregulation might represent a fruitful strategy for identifying new treatment targets and improving suicide risk prediction.