Purpose: The aim of this study was to examine the relation of mental, physical, and social wellbeing measures to death by suicide and self-harm (SH). Methods: Using a cohort design, questionnaire data on 266,324 responders aged ≥ 45 years, living in NSW, Australia were linked to hospital and death databases during 2006–2017. Adjusted incidence rate ratios (IRR) were calculated. Results: Overall, 212 suicides and 723 SH episodes were observed. A dose–response relationship with suicidal behaviour was found for Kessler-10 Psychological Distress Scale; IRRs of 4.5 (95% CI 2.4–8.3) for suicide and 8.3 (95% CI 6.5–10.7) for SH were observed for scores of high versus low distress. Elevated rates were also observed for those reporting poor versus good or excellent health (suicide, IRR: 3.8, 95% CI 2.2–6.9; SH, IRR: 4.5 95% CI 3.4–6.1); being dependent versus not dependent on help with daily tasks (suicide, IRR: 2.4 95% CI 1.5–3.7; SH, IRR: 2.6 95% CI 2.0–3.3); being a current smoker (suicide, IRR: 1.8, 95% CI 1.1–2.9; SH, IRR: 2.9 95% CI 2.3–3.5) having versus not having male erectile problems (SH, IRR: 1.9 95% CI 1.4–2.5). Participants with ≥ 5 people versus one person to depend on had reduced suicidal behaviour (suicide, IRR: 0.5 95% CI 0.3–0.7, SH, IRR: 0.5 95% CI 0.4–0.6). Conclusions: An active social network was linked to lower rates of suicide and self-harm. Adverse health, dependence on help, psychological distress were associated with higher rates of suicide and self-harm, while erectile problems were linked to an elevated rate of self-harm.