Major depressive disorder (MDD) is a common, seriously impairing, and often recurrent mental disorder. Based on the predictions of the Circumplex Model of Marital and Family Systems and the Common-Sense Self-Regulation Model, the aim of the present prospective study is to examine the predictive value of clinical outcomes of a process model in which associations between perceived family functioning and patient's clinical outcomes (i.e., symptom severity and suicide risk) are mediated by illness representations and coping strategies. A total of 113 patients with a clinical diagnosis of MDD (16.8% males and 83.2% females) aged 47.25 ± 13.98 years and recruited from the outpatient department and the mobile mental health unit of the Psychiatric Clinic of the University Hospital of Heraklion in Crete, Greece, and from a Greek online depression peer-support group participated in the study. Family functioning was assessed in terms of cohesion and flexibility (Family Adaptability and Cohesion Evaluation Scales IV) at baseline. Illness representations (Illness Perception Questionnaire-Mental Health) and coping strategies (Brief Cope Orientation to Problems Experienced) were measured about five months later (5.04 ± 1.16 months). Symptom severity (Beck Depression Inventory) and suicidality (Risk Assessment Suicidality Scale) were measured about 10 months after the baseline assessment (9.56 ± 2.52 months). The results indicated that representations about MDD impact and symptom severity serially mediated the association between family cohesion and suicide risk in MDD. Furthermore, family cohesion was found to be linked with maladaptive coping through MDD impact representations. Family-based psychotherapeutic interventions specifically designed to target unhealthy family functioning, along with negative illness perceptions and dysfunctional coping, could be further developed and explored as adjunctive therapy to standard treatment in MDD.