Most of the previous researches indicated depression and anxiety were potential risk factors for suicide, and they were also highly correlated. However, few studies have explored their combined effects on suicide and the dimensions which really work. A total of 392 suicide cases aged 15–34 years and 416 community controls of the same age range were investigated. The results showed that after controlling confounding factors, people with low depression and high anxiety, with high depression and low anxiety, with high depression and high anxiety were at 2.46, 26.32, 54.77 times more risk for suicide (all P < 0.05), compared with subjects with low depression and low anxiety. Only two of seven dimensions of depression (including cognitive disturbance, helplessness, excluding anxiety dimension) and one of two dimensions of STAI anxiety (anxiety dimension, not depression dimension) were risk factors for suicide (all OR > 1). Our main findings was that combined effects of depression and anxiety on suicide were complicated, and the effects of anxiety dimension of depression and depression dimension of anxiety must be cautiously evaluated, avoiding overlapping inclusion.