Objectives: To examine depression and suicidal behaviour and associated factors in a sample of medical students in Portugal. Methods: We conducted a cross-sectional study design of 456 native Portuguese medical students from the 4th and 5th year at the University of Lisbon. Participants answered a self-report survey including questions on demographic and clinical variables. Statistical analyses were conducted using the chi-square test, with a Monte Carlo simulation when appropriate. Results: Depression among medical students was 6.1% (n = 28) and suicidal behaviour 3.9% (n = 18). Higher depression scores were noted in female medical students (chi(2) = 4.870, df = 2, p = 0.027), students who lived alone (chi(2) = 8.491, df = 3, p = 0.037), those with poor physical health (chi(2) = 48.269, df = 2, p < 0.001), with poor economic status (chi(2) = 8.579, df = 2, p = 0.014), students with a psychiatric diagnosis (chi(2) = 44.846, df = 1, p = 0.009), students with a family history of psychiatric disorders (chi(2) = 5.284, df = 1, p = 0.022) and students with high levels of anxiety (chi(2) = 104.8, df = 3, p < 0.001). Depression scores were also higher in students with suicidal ideation (chi(2) = 85.0, df = 1, p < 0.001), suicidal plan (chi(2) = 47.9, df = 1, p < 0.001) and suicidal attempt (chi(2) = 19.2, df = 1, p < 0.001). Suicidal behaviour was higher in medical students who lived alone (chi(2) = 16.936, df = 3, p = 0.001), who had poor physical health (chi(2) = 18,929, df = 2, p = 0.001), poor economic status (chi(2) = 9.181, df = 2, p = 0.01), who are/were in psychopharmacology treatment (chi(2) = 30.108, df = 1, p < 0.001), and who had high alcohol use (chi(2) = 7.547, df = 2, p = 0.023), severe depression (chi(2) = 88.875, df = 3, p < 0.001) and high anxiety levels (chi(2) = 50.343, df = 3, p < 0.001). The results also revealed that there were no differences between students in the 4th and 5th years of medical school regarding rate of depression and suicidal behaviour. Conclusions: Since depression and suicidal behaviour are mental health problems affecting a significant proportion of medical students, medical schools should implement programs that promote mental health wellness, physical health and economic status between other factors.