A high percentage of Canadian Armed Forces (CAF) members and veterans will be diagnosed with a mental disorder, and many also experience suicidal behaviours. This study examined demographic characteristics, potentially protective factors, and distal and proximal risk factors that may be related to suicidal behaviour (ideation, plans and attempts) over a 16-year period among CAF members and veterans who met criteria for a mental disorder at baseline. This study utilized data from the 2018 CAF Members and Veterans Mental Health Follow-up Survey (n = 2,941) with respondents from the 2002 Canadian Community Health Survey: Canadian Forces Supplement. Logistic regression analyses were conducted using subsamples with a lifetime diagnosis of a) major depressive episode, b) posttraumatic stress disorder, and c) any anxiety disorder (generalized, social phobia, panic) assessed with a structured diagnostic interview in 2002. Demographic characteristics at baseline associated with suicidal behaviour among most subsamples included age, environmental command, and rank. Risk factors at baseline and/or between 2002 and 2018 included prior suicidal behaviour, comorbid mental disorder, child maltreatment, self-medication and avoidance coping, work stress, number of and exposure to traumatic experiences, persistence/recurrence of mental disorder, current comorbid disorder, alcohol use disorder, having released from service, and number of deployment-associated experiences were associated with suicidal behaviour among most subsamples. Protective factors against suicidal behaviour at baseline and/or between 2002 and 2018 included problem-solving coping and social support. Findings identify characteristics of those with mental disorders who may be at greatest risk for developing suicidal behaviour and who need further interventions.