Psychological pain is a core clinical factor for understanding suicide, independently from depression. The aim of this study is to assess the role of psychological pain on suicide risk and to evaluate the relationship between psychache and different psychiatric disorders. We conducted the present cross-sectional study on 291 inpatients with a diagnosis of major depressive disorder, bipolar disorder, and schizophrenia. We administered Shneidman’s Psychological Pain Assessment Scale (PPAS) for the assessment of mental pain and the Mini International Neuropsychiatric Interview (MINI) for the assessment of suicide risk. There was a significant association between current psychache and worst-ever psychache and suicide risk in inpatients affected by a depressive disorder, bipolar disorder and schizophrenia. Furthermore, we found a significant difference in current psychache between inpatients with major depressive disorder and inpatients with schizophrenia and in worst-ever psychache between inpatients with bipolar disorder and inpatients with schizophrenia, with lower scores in inpatients with schizophrenia. The assessment of psychache appears to be useful for predicting suicidal risk and should be used routinely for identifying and treating suicide risk in clinical practice.