Background: Studies on mental disorders prevalence and comorbidity, including suicidality, are scarce in low and middle-income settings. We aimed to describe the pattern of comorbidity between mental disorders and their association with suicidality. Methods: In 1982, all hospital deliveries in Pelotas (Southern Brazil) were identified (n = 5914) and have been prospectively followed. Participants were evaluated for the presence of common mental disorders (CMD) at the ages of 18–19, 23 and 30 years. In 2012–13 (30 years of age), trained psychologists evaluated 3657 individuals for disorders using the Mini International Neuropsychiatric Interview. Results: Prevalence of suicidal wishing, suicidal planning and lifetime suicidal attempt was 4.9%, 3.8% and 6.6%, respectively. Suicidal wishing was most strongly associated with having joint major depressive episode (MD) and lifetime suicidal attempt (OR = 26.4, 95%CI:13.9–50.4) with comorbid MD with mania/hypomania (OR = 21.2, 95%CI:6.93–65.1). Suicidal planning was most strongly associated with having joint MD and lifetime suicidal attempt (OR = 44.7, 95%CI:22.6–88.4), with comorbid MD and social anxiety disorder (OR = 30.6, 95%CI:13.0–72.0), and joint social anxiety disorder with lifetime suicidal attempt (OR = 26.3, 95%CI:8.33–82.7). Independently of other disorders, prospective and cross-sectional measures of CMD were associated with higher rates of suicidality. Limitations: We do not have data on suicide deaths in follow-up and the diagnostic instrument used at 30 years of age was not used in all previous follow-up. Conclusion: MD and social anxiety have independent and combined associations with suicidality, and also with they occur with lifetime suicidal attempt and other mental disorders.