Objective: To evaluate the association between social and health contextual variables, and between major depressive episodes (MDE) and suicidal thoughts in Brazilian adults. Methods: This population-based cross-sectional study used data from the 2013 National Health Survey (Pesquisa Nacional de Saúde). The Patient Health Questionnaire was used to evaluate the presence of MDE and suicidal thoughts. We used number of Family Health Strategy teams (FHS) per 20,000 state population, number of Psychosocial Care Centers (Centros de Atenc¸ão Psicossocial [CAPS]) per 1,000 state population, gross domestic product (GDP), and Gini index for each Brazilian state as contextual variables. Multilevel logistic regression models were used to calculate OR and the intraclass correlation coefficient (ICC). Results: Prevalence of MDE and suicidal thoughts was 4.1% (95%CI 3.8-4.4) and 3.8% (95%CI 3.5-4.1), respectively. Multilevel regression models showed an ICC of 1.1% for MDE (95%CI 0.5-2.3) and 1.3% for suicidal thoughts (95%CI 0.6-2.6). Neither GDP, Gini, FHS, or CAPS showed evidence of association with the outcomes. Conclusions: In general, contextual variables, within each Brazilian state, do not seem to affect the prevalence of MDE and suicidal thoughts.