Suicide is a relevant worldwide public health problem. Many studies have shown that different demographic and clinical factors are potentially associated with suicidal behavior. Other studies have reported data about the role of biomarkers in the onset of suicidal behaviors. Specifically, researchers have found that suicidal risk may be increased by abnormalities in serotonergic system, hypothalamic-pituitary-adrenal axis, lipid metabolism, immune system and neuronal plasticity. The identification of specific biological parameters associated with self-harm may be helpful to implement prevention strategies and also to detect new therapeutic strategies. In this review, we summarize and analyze the results of main studies about neurobiological mechanisms related to suicidal behavior, also exploring the possible interconnection between the different biological systems.