Unemployment increases a person's risk of suicide by up the three times, researchers have found.
The unemployed can feel isolated
They say the link remains even when other risk factors such as household income, education and marital status are taken into account.
Experts say the findings reinforce the importance of unemployed people ensuring they keep busy, and talk to people about their problems.
New Zealand researchers looked at information on over two million people from the 1991 census.
They then looked at suicide rates among the group for the next three years.
Men and women aged 25 to 44, and men who were aged 45 to 64 who were unemployed were two to three times as likely to commit suicide as their employed peers.
The researchers, from the Wellington School of Medicine, said proportion of suicides linked to unemployment was just 6%, and mental illness is a factor in around half of all suicides.
But they say that still leaves a significant direct association between suicide and unemployment which should not be ignored.
Writing in the Journal of Epidemiology and Community Health the team, led by Dr Tony Blakely, said: "A sociological explanation might be that the unemployment rate in a society is a marker of a lack of social cohesion that in turn is associated with suicide."
A spokeswoman for The Samaritans told BBC News Online it was generally agreed there was a link between unemployment and suicide.
She said: "This study shows that it is not solely related to mental illness.
"Society has changed. Possible sources of emotional support have fallen away, such as the extended family and neighbours."
"Being isolated, not being part of a work community at all, can increase feelings of vulnerability."
She said unemployed people should aim to keep themselves busy.
"We recommend something that gives people a purpose and some contact with others.
"Having some sort of purpose in life is one way of maintaining self-esteem."
She added: "If people are unemployed, it can be very difficult to carry on and see a purpose in life, particularly if they are older and their prospects of finding work may not be very good."
But she said the most important thing was for people not to bottle things up.
"We urge people to talk about how they are feeling."
The Samaritans can be contacted on 08457 909090 or by emailing email@example.com.