Death by suicide is a major public health problem. People living with human immunodeficiency virus (PLHIV) have higher risk of suicidal behavior than the general population. The aim of this review is to summarize suicidal behavior, associated risk factors, and risk populations among PLHIV. Research studies in six databases from January 1, 1988, to July 8, 2021, were searched using keywords that included “HIV,” “suicide,” and “risk factors.” The study design, suicide measurement techniques, risk factors, and study findings were extracted. A total of 193 studies were included. We found that the Americas, Europe, and Asia have the highest rates of suicidal behavior. Suicide risk factors include demographic factors, mental illness, and physiological, psychological, and social support. Depression is the most common risk factor for PLHIV, with suicidal ideation and attempt risk. Drug overdosage is the main cause of suicide death. In conclusion, the current study found that PLHIV had experienced a high level of suicidal status. This review provides an overview of suicidal behavior and its risk factors in PLHIV with the goal of better managing these factors and thus preventing death due to suicide.