Depression has been identified as a risk factor for suicide, yet limited evidence has elucidated the underlying pathways linking depression to subsequent suicide risk. Therefore, we aimed to examine the psychological mechanisms that connect depression to suicide risk via linguistic characteristics on Weibo. We sampled 487,251 posts from 3196 users who belong to the depression super-topic community (DSTC) on Sina Weibo as the depression group, and 357,939 posts from 5167 active users as the control group. We employed the double machine learning method (DML) to estimate the impact of depression on suicide risk, and interpreted the pathways from depression to suicide risk using SHapley Additive exPlanations (SHAP) values and tree interpreters. The results indicated an 18% higher likelihood of suicide risk in the depression group compared to people without depression. The SHAP values further revealed that Exclusive (M = 0.029) was the most critical linguistic feature. Meanwhile, the three-depth tree interpreter illustrated that the high suicide risk subgroup of the depression group (N = 1196, CATE = 0.32 ± 0.04, 95％CI [0.20, 0.43]) was predicted by higher usage of Exclusive (>0.59) and Health (>-0.10). DML revealed pathways linking depression to suicide risk. The visualized tree interpreter showed cognitive complexity and physical distress might be positively associated with suicide risk in depressed populations. These findings have invigorated further investigation to elucidate the relationship between depression and suicide risk. Understanding the underlying mechanisms serves as a basis for future research on suicide prevention and treatment for individuals with depression.