Accurate documentation of the associations between stress disorders and suicide attempts provides important information about a high‐risk population and target group for preventative interventions. In this case‐cohort study, cases were all individuals born or residing in Denmark who made a nonfatal suicide attempt during 1995–2015 (n = 22,974). The comparison subcohort included a 5% random sample of the Danish population on January 1, 1995 (n = 265,183). Stress disorder diagnoses and suicide attempts were identified using ICD‐10 codes from national medical registries. The presence of any stress disorder substantially increased the rate of suicide attempts versus the comparison subcohort, rate per 100,000 person‐years (PYs) = 604 vs. 13. We observed associations between each type of stress disorder and suicide attempts, hazard ratios (HRs) = 10.1–37.6, even after adjustment for potential confounders, adjusted HRs = 1.8–8.3, with the strongest associations for adjustment disorder relative to other diagnoses. After adjusting for demographic and health variables, the rate of suicide attempts among individuals with any stress disorder diagnosis was nearly 13 times the suicide attempt rate in the comparison cohort. A bias analysis demonstrated that associations remained robust despite potential differential misclassification of suicide attempts. Study strengths included the use of individual‐level data linked across administrative and medical registries in the setting of universal health care and the use of longitudinal analyses capturing data over 20 years. The study demonstrated associations between the full range of stress disorders and suicide attempts, extending research specific to posttraumatic stress disorder.