Sleep disturbances and suicidal behaviour are highly prevalent phenomena, representing with a significant burden to society. Sleep has been acknowledged as a potential biomarker for suicidal behaviour. Over the past decade several studies have explored the association between sleep problems and suicidal behaviour. This area has attracted a growing research interest, hence updated information is needed. We therefore present a wide-scope review of the literature summarizing the most relevant studies on epidemiological and theoretical issues underlying this association. Implications of these findings for clinical practice and future research are discussed. We performed a systematic search of PubMed and Embase databases up to October 2018 to identify studies exploring the association between sleep and suicide. Sixty-five articles met the selection criteria, thus they were included in the review. There was a significant and independent association between sleep disturbances and suicide risk. Psychiatric disorders, sleep deprivation-induced neurocognitive deficits, emotional dysregulation, alterations in circadian rhythms, and negative feelings, among other factors, contributed to this relationship. Sleep loss may lead to higher levels of impulsivity, thus increasing unplanned suicidal behaviour. Sleep disturbances may therefore predict suicidal behaviour, hence becoming a potential therapeutic target.