There is growing evidence that suggests a potential association between particulate matter (PM) and suicide. However, it is unclear that PM exposure and suicide death among major depressive disorder (MDD) patients, a high-risk group for suicide. We aimed to assess the effect of short-term exposure to PM on the risk of suicide in MDD patients who are at high risk for suicide. We investigated the risk of suicide among 922,062 newly-diagnosed MDD patients from 2004 to 2017 within the Korean National Health Insurance Service (NHIS) database. We identified 3,051 suicide cases from January 1, 2015, to December 31, 2017, within the death statistics database of the Korean National Statistical Office. PMs with aerodynamic diameter less than 2.5 μm (PM2.5), less than 10 μm (PM10), and 2.5–10 μm (PM2.5–10) were considered, which were provided from the National Ambient Air Monitoring System in South Korea. Time-stratified case-crossover analysis was performed to investigate the association of particulate matter exposure to suicide events. The risk of suicide was significantly high upon the high level of exposure to PM2.5, PM2.5–10 (coarse particle) and PM10 on lag 1 (p for trend < 0.05). Short-term exposure to a high level of PM was associated with an elevated risk for suicide among MDD patients. There is a clear dose–response relationship between short-term PM exposures with suicide death among MDD patients. This result will be used as an essential basis for consideration when establishing an air pollution alarm system for reducing adverse health outcomes by PM.