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Study Objectives The relationship between insomnia and suicide risk is not completely understood. We aimed to investigate the influence of insomnia on suicide risk, taking both sleep duration and depression into consideration. Methods The present study is based on a Swedish prospective cohort study of 38,786 participants with a mean follow-up time of 19.2 years. Cox proportional hazards models with attained age as time-scale were used to estimate hazard ratios (HRs) of death by suicide with 95% confidence intervals (CI) for participants categorized by frequency of insomnia symptoms. Causal mediation analysis was performed to assess to what extent the relationship between insomnia and suicide risk is mediated by depression. Results Insomnia was only associated with suicide risk among short sleepers, whereas no significant association was observed among those who slept 7 h/night or more. The total effect of insomnia in the context of short sleep on suicide risk, expressed on the HR scale, was 2.85 (95% CI 1.42–5.74). The direct effect was 2.25 (95% CI 1.12–4.54) and the indirect effect, mediated by depression, was 1.27 (95% CI 1.05–1.53). Of the total effect, 32% was mediated by depression. The association between insomnia and suicide risk became more pronounced with decreasing depressive symptoms (p value for trend &amp;lt;0.05). Conclusions Insomnia in the context of short sleep increases suicide risk, both directly and indirectly by affecting the risk of depression. Abnormalities of sleep duration and insomnia symptoms should be evaluated when assessing suicide risk.