Background: Suicide behavior (SB) has been highly associated with the response to stress and the hypothalamic–pituitary–adrenal (HPA) axis. The aim of this study was to summarize the results obtained in genetic studies that analyzed the HPA axis—stress pathway and SB through a systematic review. Methods: We performed an online search in PubMed, EBSCO, Web of Science, Scopus, and PsycoInfo databases up to May 2021. We followed the PRISMA guidelines for systematic reviews. We included case-control and expression studies that provided data on mRNA expression and single-nucleotide polymorphisms of genes associated with SB. Results: A total of 21,926 individuals participated across 41 studies (not repeats); 34 studies provided data on single-nucleotide polymorphisms in 21,284 participants and 11 studies reported data on mRNA expression in 1034 participants. Ten genes were identified: FKBP5, CRH, CRHBP, CRHR1, CRHR2, NR3C1, NR3C2, SKA2, MC2R, and POMC. Conclusions: Our findings suggest that key stress pathway genes are significantly associated with SB and show potential as biomarkers for SB.