The objective of this paper was to investigate variations in the risk of suicide by socioeconomic status/position (SES) for men and women. Data on 15,648 suicide deaths between 18-65 year old men and women over the period 1981-1997 were linked to data on SES indicators, using a nested case control design. Cox’s proportional hazard regression models were fitted separately for men and women. The results showed that suicide, in both men and women aged 18 to 65 years, is strongly associated with a range of commonly measured indicators of SES, and that the association does vary by sex even after adjusting for these SES measures simultaneousely and controlling for the effect of health status. Low economic status, measured as low income, unskilled blue-collar work, unspecific wage work and unemployment, tends to increase suicide risk more prominently in men than in women; marital status seems to have a comparable influence on suicide risk in the both sexes and the risk is significantly higher among the singlers; parenthood is protective against suicide and the protective effect is statistically stronger for women; living in a big city tends to raise suicide risk for women but reduce the risk for men; Foreign citizens living in Denmark have a lower risk for suicide compared with Danish dwellers but the reduced risk is mainly confined to male immigrants. Our findings reflect the reality of the SES distribution of suicide risk, and underscore the importance and necessity of taking sex, various SES proxies and health factors into consideration mutually and simultaneously for a better understanding of this association.