Objective: To explore the association between social cognition and previous suicide attempts and non-suicidal self-injurious behavior in adults with unipolar depressive disorders. Methods: Seventy-two patients undergoing outpatient treatment for unipolar depression were enrolled in this cross-sectional study. Theory of mind was assessed using the Hinting Task and the Revised Reading the Mind in the Eyes Test. Empathy was evaluated using the Interpersonal Reactivity Index. Lifetime suicide attempts and non-suicidal self-injurious behavior were assessed using the Columbia Suicide Risk Rating Scale. Participants with and without these suicide-related outcomes were compared in terms of social cognition. Results: Patients with previous suicide attempts performed worse on the Reading the Mind in the Eyes Test (p = 0.017). Patients with a history of non-suicidal self-injurious behavior were younger (p = 0.005), had a younger age at first depressive episode (p = 0.017), and scored higher on personal distress in the Interpersonal Reactivity Index (p = 0.027). Only personal distress remained independently associated with non-suicidal self-injurious behavior in multivariable analysis (p = 0.038). Conclusion: Among patients with depression, those with previous suicide attempts or non-suicidal self-injurious behavior showed worse social cognition. These results encourage future research on social cognition deficits as clinical markers of suicide-related behaviors and as targets for interventions.