This study aims to explore the link between Apo-E, brain white matter, and suicide in patients with major depressive disorder (MDD) to investigate the potential neuroimmune mechanisms of Apo-E that may lead to suicide. Thirty-nine patients with MDD (22 patients with suicidality) and 57 age, gender, and education-matched healthy controls participated in this study, provided plasma Apo-E samples, and underwent diffusion tensor imaging scans. Plasma Apo-E levels and white matter microstructure were analyzed among the MDD with suicidality, MDD without suicidality, and HC groups using analysis of variance with post hoc Bonferroni correction and tract-based spatial statistics (TBSS) with threshold-free cluster enhancement correction. Mediation analysis investigated the relationship between Apo-E, brain white matter, and suicidality in MDD. The MDD with suicidality subgroup had higher depressive and suicide scores, longer disease course, and lower plasma Apo-E levels than MDD without suicidality. TBSS revealed that the MDD non-suicide subgroup showed significantly increased mean diffusivity in the left corticospinal tract and body of the left corpus callosum, as well as increased axial diffusivity in the left anterior corona radiata and the right posterior thalamic radiation compared to the suicidal MDD group. The main finding was that the increased MD of the left corticospinal tract contributed to the elevated suicide score, with Apo-E mediating the effect. Preliminary result that Apo-E's mediating role between the left corticospinal tract and the suicide factor suggests the neuroimmune mechanism of suicide in MDD. The study was registered on ClinicalTrials.gov (NCT03790085).