Background: Previous studies of the effect of interaction between psychiatric disorders on suicide have reported mixed results. We investigated the joint effect of depression and various comorbid psychiatric disorders on suicide. Methods: We conducted a population-based case-cohort study with all suicide deaths occurring between 1 January 1995 and 31 December 2015 in Denmark (n = 14,103) and a comparison subcohort comprised of a 5% random sample of the source population at baseline (n = 265,183). We quantified the joint effect of pairwise combinations of depression and major psychiatric disorders (e.g., organic disorders, substance use disorders, schizophrenia, bipolar disorder, neurotic disorders, eating disorders, personality disorders, intellectual disabilities, developmental disorders, and behavioral disorders) on suicide using marginal structural models and calculated the relative excess risk due to interaction. We assessed for the presence of competing antagonism for negative relative excess risk due to interactions. Results: All combinations of depression and comorbid psychiatric disorders were associated with increased suicide risk. For example, the rate of suicide among men with depression and neurotic disorders was 20 times (95% CI = 15, 26) the rate in men with neither disorder. Most disorder combinations were associated with subadditive suicide risk, and there was evidence of competing antagonism in most of these cases. Conclusions: Subadditivity may be explained by competing antagonism. When both depression and a comorbid psychiatric disorder are present, they may compete to cause the outcome such that having 2 disorders may be no worse than having a single disorder with respect to suicide risk.