There is a growing evidence that neuropeptides may be involved in the pathophysiology of suicidal behavior. A critical review of the literature was conducted to investigate the association between neuropeptides and suicidal behavior. Only articles from peer-reviewed journals were selected for the inclusion in the present review. Twenty-six articles were assessed for eligibility but only 22 studies were included. Most studies have documented an association between suicidality and some neuropeptides such as corticotropin-releasing factor (CRF), VGF, cholecystokinin, substance P, and neuropeptide Y (NPY), which have been demonstrated to act as key neuromodulators of emotional processing. Significant differences in neuropeptides levels have been found in those who have attempted or completed suicide compared with healthy controls or those dying from other causes. Despite cross-sectional associations between neuropeptides levels and suicidal behavior, causality may not be inferred. The implications of the mentioned studies were discussed in this review paper.