The association of aggression and impulsivity with suicidal behavior (SB) in depression may vary across countries. This study aimed (i) to compare aggression and impulsivity levels, measured with the Brown-Goodwin Scale (BGS) and the Barratt Impulsivity Scale (BIS), respectively, between New York City (NYC) (US), Madrid (Spain) and Florence (Italy) (ANOVA); and (ii) to investigate between-site differences in the association of aggression and impulsivity with previous SB (binary logistic regression). Aggression scores were higher in NYC, followed by Florence and Madrid. Impulsivity levels were higher in Florence than in Madrid or NYC. Aggression and impulsivity scores were higher in suicide attempters than in non-attempters in NYC and in Madrid. SB was associated with aggression in NYC (OR 1.12, 95% CI 1.07–1.16; p < 0.001) and in Florence (OR 1.11, 95% CI 1.01–1.22; p = 0.032). Impulsivity was linked with SB in NYC (OR 1.01, 95% CI 1.00–1.02; p < 0.001) and in Madrid (OR 1.03, 95% CI 1.02–1.05; p < 0.001). The higher suicide rates in NYC, compared to Madrid or Florence, may be, in part, explained by these cross-cultural differences in the contribution of aggression-impulsivity to SB, which should be considered by future research on SB prevention.