According to the World Health Organization (WHO), more than 700,000 people die per year due to suicide. Suicide risk factors include a previous suicide attempt and psychiatric disorders. The highest mortality rate in suicide worldwide is due to depression. Current evidence suggests that suicide etiopathogenesis is associated with neuroinflammation that activates the kynurenine pathway and causes subsequent serotonin depletion and stimulation of glutamate neurotransmission. These changes are accompanied by decreased BDNF (brain-derived neurotrophic factor) levels in the brain, which is often linked to impaired neuroplasticity and cognitive deficits. Most suicidal patients have a hyperactive hypothalamus–pituitary–adrenal (HPA) axis. Epigenetic mechanisms control the above-mentioned neurobiological changes associated with suicidal behaviour. Suicide risk could be attenuated by appropriate psychological treatment, electroconvulsive treatment, and drugs: lithium, ketamine, esketamine, clozapine. In this review, we present the etiopathogenesis of suicide behaviour and explore the mechanisms of action of anti-suicidal treatments, pinpointing similarities among them.