Previous studies indicated that individuals with major depressive disorder (MDD) are at high risk of suicide, making the identification of risk factors in suicidal depressive outpatients essential for developing effective prevention and treatment strategies. This study aims to (1) identify emotional risk factors and (2) examine the relationship between cognitive markers—including rumination and self-criticism—and suicidal ideation among depressive outpatients. A total of 165 Chinese clinical outpatients with depression were recruited from local hospitals in Hong Kong. In our sample, 68% of patients with moderate depression and 87.5% of patients with severe depression reported experiencing suicidal thoughts. The results from the logistic regression revealed a significant interaction between rumination and self-critical thoughts in relation to suicidal ideation. Specifically, the ruminative patients with self-critical thoughts were more likely to have suicidal thoughts than those without self-critical thoughts. These findings align with the cognitive model of suicide, suggesting that maladaptive information processing and negative cognitive content are associated with an increased risk of suicide. The current findings have clinical implications for the future development of more specific and accurate mental health assessment, preventive programs, and psychotherapies for depressive outpatients.