Suicide is a leading cause of death and disability worldwide. Psychache (psychological pain) and diminished tolerance of psychaches are important risk factors for suicide. People experiencing psychaches of similar severity may not demonstrate the same levels of tolerance because of various coping skills. This study aimed to determine the relationship between psychache, tolerance for psychache, and coping skills in individuals with depression and healthy controls. We included 73 patients with depressive disorders without comorbid mental disorders and 65 healthy controls. We applied beck depression inventory, beck hopelessness scale, beck suicidal ideation scale, psychache scale, tolerance for mental pain scale (TMPS), and coping attitudes evaluation scale (COPE) to all participants. People with depression had significantly higher COPE dysfunction scores than those in the control group did. Patients who had previously attempted suicide attempt(s) previously had significantly higher beck hopelessness scale, beck depression inventory, COPE dysfunction, and psychache scale scores, and lower TMPS-10 scores than those who did not attempt suicide. Mediation analyses revealed that dysfunctional coping skills played a partial mediating role in the relationship between psychache and the TMPS. The study revealed that dysfunctional coping skills were related to suicidal ideation and previous suicide attempts. These findings suggest that improving coping skills could help reduce the severity of suicidal ideation.