Epidemiological and clinical studies have described an association between lower serum cholesterol concentrations and increased suicide risk that is not entirely attributable to depression-related malnutrition and weight loss. Recent epidemiological studies with greater samples and longer follow-up periods, however, have even shown a positive correlation between cholesterol concentrations and suicide risk after controlling for potential confounding variables. A meta-analysis of earlier intervention trials suggested that cholesterol lowering could cause or worsen depressive symptoms and increase the risk of suicide. Large trials of statins (simvastatin, lovastatin, and pravastatin) did not show an increase of suicide mortality. The aim of this selective review is to critically discuss the current evidence for a potential link between cholesterol, essential fatty acids, depression, suicide, impulsivity, and aggression. Preclinical data support the hypothesis that cholesterol reduction may contribute to the serotonergic abnormalities that have been postulated in suicidal subjects. Recently, it was hypothesised that a decreased consumption of polyunsaturated fatty acids, especially omega-3 fatty acids, may be a risk factor for depression and suicide. Currently, we do not have sufficient evidence that cholesterol-lowering therapies increase the risk of depression and suicide. Increasing the dietary intake of omega-3 fatty acids may increase central serotonergic activity and reduce impulsive and aggressive behaviours.