Background Depression is the most common comorbid psychiatric disorder in people who die by suicide and 39% of global suicides occur in the World Health Organization (WHO) South-East Asia Region. The aim of this systematic review was to identify, for countries of this region, first the prevalence of depression among people who (i) die by, or (ii) attempt, suicide, and second, the proportion of people with depression who attempt or die by suicide. Methods PubMed, PsycINFO, EMBASE and Google Scholar were searched, together with five available national databases, for quantitative research papers published in English between 1956 and 4 September 2016 from the 11 countries of the WHO South-East Asia Region. Results The 19 articles that met the predefined eligibility criteria were from five countries: Bangladesh (1), India (12), Indonesia (1), Sri Lanka (3) and Thailand (2); no eligible papers from the remaining countries of the region were retrieved. Eight studies, from Bangladesh, India, Indonesia and Sri Lanka, reported the prevalence of depression among people who had died by suicide. The study settings varied, as did the proportion of depression recorded (6.9-51.7%), and the study sample sizes ranged from 27 to 372. Eight studies from India and one from Sri Lanka investigated depression among people who had attempted suicide. Using a range of screening and diagnostic tools, the reported prevalence of depression ranged between 22.0% and 59.7%. The study sample sizes ranged from 56 to 949. Only two articles were found, both from Thailand, that reported on suicide in people with depression. Conclusion Despite the high burden of mortality of suicide in the WHO South-East Asia Region, evidence on the relation between suicide and depression is scarce. There is a need to understand this phenomenon better, in order to inform suicide-prevention strategies in the region.