An association of higher body mass index (BMI) with lower risk of attempted and completed suicide has been reported. In contrast, increasing BMI has been found to be associated with depression and other risk factors for suicidal behavior. We aimed to investigate this possible paradox in a cohort comprising 49 000 Swedish men. BMI, mental health, lifestyle and socioeconomic measures were recorded at conscription in 1969-70, at ages 18-20. Information on attempted suicide 1973-2008 and completed suicide 1971-2008 was obtained from national records. Hazard ratios (HR) were estimated by Cox proportional hazard models. We found that each standard deviation (SD) increase in BMI was associated with a 12% lower risk of later suicide attempt (HR 0.88, 95% CI 0.83-0.94). Associations were somewhat weaker for completed suicide and did not reach conventional levels of statistical significance (HR 0.93, 95% CI 0.85-1.01). Adjustment for a wide range of possible confounding factors had little effect on the associations. Lower BMI at conscription was also associated with higher prevalence of psychiatric diagnoses, low emotional control and depressed mood. Our results confirm previous findings regarding the association of higher BMI with a reduced risk of suicide, extending them to show similar findings in relation to suicide attempts. The associations were little affected by adjustment for a range of possible confounding factors. However, we found no evidence that high BMI was associated with an increased risk of depression cross-sectionally or longitudinally.