BACKGROUND: Suicide is a global public health importance and a second leading cause of death in adolescents. It is more common among adolescents and is considered as a serious public health problem worldwide. This study aims to determine the association between health risk behavior with suicidal ideation, continuous sadness and depression among Malaysian youth. METHODS: A cross-sectional study was carried out among 4088 youth aged 13–17 years old from 50 selected schools. A stratified random sampling was used to select respondents from different classes. The students were randomly selected using the same software throughout the country. Verbal consent was obtained from the student and parents prior to data collection. A standardized self-administered questionnaire adapted from the United States’ Youth Behaviour Risk Surveillance Survey (YBRSS) were used. RESULTS: The rates of Continuous Sadness (CS), Depression (DP) and Suicidal Ideation (SI) were 34.3%, 13.2% and 7.9% respectively. The multivariable-adjusted odds ratio showed that sexual abuse was associated with SI 8.04 (95% CI: 4.66, 13.84), CS 5.72 (95% CI: 3.21, 9.82) and DP 4.68% (95% CI: 2.80, 7.83); alcohol use was associated with SI 1.62 (95% CI: 1.06, 2.47) and DP 1.67 (95% CI: 1.20, 2.33). Female was associated with all suicidal behaviours: SI 2.48 (95% CI: 1.90, 3.24), CS 2.07 (95% CI: 1.80, 2.37) and DP 1.41 (95% CI: 2.17, 1.71). Smoking and drug was not associated with CS, DP and SI. CONCLUSIONS: Given the well-founded concern of increasing risk of suicidal behaviour among youth, preventive efforts should adopt a more comprehensive approach in dealing with sexual abuse and alcohol abuse, especially in female.