A substantial body of evidence shows an association between an increased risk of suicide and naturally low or therapeutically lowered serum cholesterol. The nature of the association, however, remains unclear. The interrelationships of cholesterol, cholesterol-lowering medications, depressive disorders, and the risk of suicide are more likely to be multi-directional. On the one hand, low cholesterol may have direct effects on mood and suicidal behaviors. On the other hand, psychological conditions and the medications for treatment may influence eating and exercise habits, and subsequently cholesterol levels. There is also likelihood that cholesterol might be a bystander of the association between suicide and other factors. Overall, the association not only represents a public health concern, is indeed a scientific challenge. The aim of this contribution is to comprehensively update and critically review the epidemiological evidences. Efforts have been made to explain the discrepant results from previous studies. This paper is concluded with discussions of the direction and methodological challenges for future investigations.