Backgrounds: Thyroid dysfunction was reported to be associated with depression; however, its role in suicide risk in patients with major depressive disorder (MDD) remains unclear. The objective of this study was to compare thyroid function between suicide attempters and non-suicide attempters in a large sample of first episode drug naive (FEDN) MDD patients, which received little systemic investigation. Methods: A total of 1718 outpatients with diagnosis of MDD at their first episode were recruited. Their sociodemographic, clinical data and thyroid function parameters were collected. The positive subscale of the Positive and Negative Syndrome Scale (PANSS), Hamilton Anxiety Rating Scale (HAMA) and Hamilton Depression Rating Scale (HAMD) were measured for psychotic, anxiety and depressive symptoms, respectively. Results: Our results showed that compared with non-suicide attempters, suicide attempters had greater scores on HAMD, HAMA and PANSS psychotic symptoms and higher serum levels in thyroid stimulating hormone (TSH), anti-thyroglobulin (TgAb) and thyroid peroxidases antibody (TPOAb) (all p < 0.001). Further logistic regression analysis indicated that suicide attempts were associated with severe anxiety with an adjusted odds ratio (OR) of 2.704 and TPOAb with an adjusted OR of 2.188. Limitations: No causal relationship could be drawn due to the cross-sectional design. Conclusions: Our results indicate TSH, TgAb and TPOAb may be promising biomarkers of suicide risk in MDD, suggesting the importance of regular assessment of thyroid function parameters for suicide prevention, and possible treatment for impaired thyroid function for intervention of suicide in MDD patients.