Consistent evidence indicates the association between inflammatory markers and suicidal behavior. The burden related to immunological differences have been widely documented in both major affective disorders and suicidal behavior. Importantly, abnormally elevated pro-inflammatory cytokines levels have been reported to correlate with suicidal behavior but whether and to what extent specific inflammatory cytokines abnormalities may contribute to our understanding of the complex pathophysiology of suicide is unknown. The present manuscript aimed to systematically review the current literature about the role of pro-inflammatory cytokines in suicidal behavior. Most studies showed a link between abnormally higher interleukin (IL)-1β, IL-6, tumor necrosis factor (TNF)-α, transforming growth factor (TGF)-β1, vascular endothelial growth factor (VEGF), kynurenic acid (KYN), and lower IL-2, IL-4, and interferon (IFN)-γ levels in specific brain regions and suicidal behavior. Unfortunately, most studies are not able to exclude the exact contribution of major depressive disorder (MDD) as a mediator/moderator of the link between inflammatory cytokines abnormalities and suicidal behavior. The association between suicidal patients (both suicide attempters or those with suicidal ideation) and the altered immune system was documented by most studies, but this does not reflect the existence of a specific causal link. Additional studies are needed to clarify the immune pathways underlying suicidal behavior.