Objective: Discussing the factors associated with major depression and suicide risk among nursing professionals. Method: An integrative review in PubMed/MEDLINE, LILACS, SciELO and BDENF databases, between 2003 and2015. Results: 20 published articles were selected, mostly from between 2012 and 2014, with significant production in Brazil. Nursing professionals are vulnerable to depression when young, married, performing night work and having several jobs, and when they have a high level of education, low family income, work overload, high stress, insufficient autonomy and a sense of professional insecurity and conflict in the family and work relationship. Suicide risk was correlated with the presence of symptoms of depression, high levels of emotional exhaustion, depersonalization and low personal accomplishment; characteristics of Burnout Syndrome. Conclusion: Suicide risk among nursing professionals is associated with symptoms of depression and correlated with Burnout Syndrome, which can affect work performance.