Objectives: This study examines the relationships between sub-factors of anxiety sensitivity (physical, cognitive, and social concerns) and suicidal ideation and suicide attempts, while investigating whether depression mediates these relationships. Methods: A survey assessing anxiety sensitivity, suicidal ideation, suicide attempts, and depression was conducted with 123 adults who had undergone counseling and psychotherapy. Statistical analyses, including regression analysis, were performed using SPSS version 23.0 and the Process macro (model 4). Results: First, cognitive concerns were identified as a major predictor of suicide risk, while physical concerns were associated with suicidal ideation. Social concerns showed an inverse relationship, with lower levels of social concerns correlating with higher levels of suicidal ideation. Second, depression was found to mediate the relationship between cognitive concerns and both suicidal ideation and suicide attempts. Specifically, higher levels of cognitive concerns were linked to increased depression, which in turn led to an increase in suicidal ideation and suicide attempts. Conclusions: This study revealed that cognitive concerns not only play an independent role in predicting suicidal ideation but also serve as a significant pathway to suicidal ideation and suicide attempts through the mediation of depression. Additionally, physical concerns were associated with suicidal ideation, and lower levels of social concerns were linked to an increase in suicidal ideation. These findings suggest the necessity for a multidimensional approach to understanding suicide risk factors, incorporating cognitive, physical, and social dimensions.