Major depressive disorder (MDD) is a severe brain disease associated with a significant risk of suicide. Identification of suicidality is sometimes life-saving for MDD patients. We aimed to explore the use of dynamic functional network connectivity (dFNC) for suicidality detection in MDD patients. A total of 173 MDD patients, including 48 without suicide risk (NS), 74 with suicide ideation (SI), and 51 having attempted suicide (SA), participated in the present study. Thirty-eight healthy controls were also recruited for comparison. A sliding window approach was used to derive the dFNC, and the K-means clustering method was used to cluster the windowed dFNC. A linear support vector machine was used for classification, and leave-one-out cross-validation was performed for validation. Other machine learning methods were also used for comparison. MDD patients had widespread hypoconnectivity in both the strongly connected states (states 2 and 5) and the weakly connected state (state 4), while the dysfunctional connectivity within the weakly connected state (state 4) was mainly driven by suicidal attempts. Furthermore, dFNC matrices, especially the weakly connected state, could be used to distinguish MDD from healthy controls (area under curve [AUC] = 82), and even to identify suicidality in MDD patients (AUC = 78 for NS vs. SI, AUC = 88 for NS vs. SA, and AUC = 74 for SA vs. SI), with vision-related and default-related inter-network connectivity serving as important features. Thus, the dFNC abnormalities observed in this study might further improve our understanding of the neural substrates of suicidality in MDD patients.