Mental disorders have a large impact on death by suicide. Hence, this study aims to determine the prevalence of suicidal behaviors among major depressive disorder (MDD) patients and the associated factors.  This cross-sectional analytical study was conducted among individuals aged 18 to 65 years, diagnosed with MDD in the Psychiatry Outpatient Department of a Tertiary Care Center, Puducherry during March to October 2019. Severity of depression was assessed using Hamilton Depression Rating Scale and Columbia-Suicide Severity Rating Scale was used to find the suicidal behaviors.  For 166 participants in the study, mean (standard deviation) age was 40 (11) years and majority were females (76%). More than one-third (37%) had severe or very severe depression, and the prevalence of suicidal ideation, plan, and attempts were 83, 24, and 35%, respectively. After adjusting the covariates, the severity of depression and unemployment were significantly associated with suicidal attempts (adjusted prevalence ratios [aPR] = 11.4 and 1.9), and very severe depression was associated with suicidal ideation (aPR = 1.6). Among 140 individuals with suicidal ideation, 45 (32%) had an ideation frequency of 2 to 3 times/week, 69 (50%) had ideation for 1 hour, 36 (26%) could control ideation with little difficulty, and 12% had suicidal ideation mostly to end or stop their pain.  Suicidal ideation and attempts were significantly high in MDD patients, and the severity of depression was significantly associated with it. Early identification of high-risk suicidal behavior and implementation of effective preventive interventions are necessary to reduce death by suicide in these groups.