Objective: We aimed to investigate the mediating effect of violence by a family member or acquaintance on biological sex, depression and suicidal ideation. Methods: We used data from the 2013 Brazilian National Health Survey, a cross-sectional nationwide survey. Major depressive episode and suicidal ideation were evaluated with the Patient Health Questionnaire. Violence victimization and other sociodemographic variables were self-reported. We used logistic regression to estimate the OR, 95%CI and G-computation to calculate the natural direct and indirect effects. Results: A total of 60,202 individuals were evaluated. Women had higher prevalences of major depressive episode (OR = 2.36; 95%CI 2.03-2.74), suicidal ideation (OR = 2.02; 95%CI 1.73-2.36) and violence victimization (OR = 1.73; 95%CI 1.45-2.06). The mediation analysis showed that 10.6% of the association between sex and major depressive episode and 8.0% of the association between sex and suicidal ideation is explained by violence. Conclusions: Women in Brazil have an increased risk of major depressive episode and suicidal ideation, and this association is mediated, in part, by the fact that they suffer more violence from family members or acquaintances.