Previous studies, which included predominantly Caucasian populations, examined psychiatric and physical illness and associated suicide risk. We used a nationwide database to reassess the findings in an Asian population, and also analyzed the influence of different onset timing of psychiatric and physical illness and the suicide risk. We included 55,630 suicide cases aged 20–110 years. Using an incidence density sampling approach, we selected 222,520 controls matched by age, sex, and residence area from 2000 to 2012. We included most major psychiatric and physical illnesses defined by ICD‐9‐CM codes with anatomical classifications. By using conditional logistic regression models with adjustment of covariates, such as patients’ marital status and education levels, we found that patients with psychiatric illness had higher suicide risk (adjusted IRR, 7.72; 95% CI: 7.35–8.09) compared with those with neither physical nor psychiatric illness and the risk increased substantially in patients with both psychiatric and physical illnesses (adjusted IRR, 18.35; 95% CI: 16.40–20.86). Specifically, we found the suicide risk was relatively higher (adjusted IRR, 1.28; 95% CI: 1.10–1.40) when psychiatric disorders occurred before physical illness compared with the other way around. The findings warrant attention to high suicide risk and preventive treatments in patients with both psychiatric and physical illnesses.