Background: Suicidality is common in major depressive disorder (MDD), but there has been no systematic review published about all aspects of suicidality. This meta-analysis and systematic review compared the prevalence of the whole range of suicidality comprising suicidal ideation (SI), suicide plan (SP), suicide attempt (SA), and completed suicide (CS), between patients with MDD and non-MDD controls. Methods: Major international (PubMed, PsycINFO, Web of Science, EMBASE) and Chinese (Chinese Nation Knowledge Infrastructure and WANFANG) databases were systematically and independently searched from their inception until January 12, 2021. Results: Fifteen studies covering 85,768 patients (12,668 in the MDD group and 73,100 in the non-MDD group) were included in the analyses. Compared to non-MDD controls, the odds ratios (ORs) for lifetime, past month, past year, and 2-week prevalence of SI in MDD were 2.88 [95% confidence interval (CI) = 0.30–27.22, p = 0.36], 49.88 (95% CI = 2–8.63, p < 0.001), 13.97 (95% CI = 12.67–15.41, p < 0.001), and 24.81 (95% CI = 15.70–39.22, p < 0.001), respectively. Compared to non-MDD controls, the OR for lifetime SP in MDD was 9.51 (95% CI = 7.62–11.88, p < 0.001). Compared to non-MDD controls, the ORs of lifetime and past-year prevalence of SA were 3.45 (95% CI = 1.58–7.52, p = 0.002), and 7.34 (95% CI = 2.14–25.16, p = 0.002), respectively, in MDD patients. No difference in the prevalence of CS between MDD and controls was found (OR = 0.69, 95% CI = 0.23–2.02, p = 0.50). Conclusions: MDD patients are at a higher risk of suicidality, compared to non-MDD controls. Routine screening for a range of suicidality should be included in the management of MDD, followed by timely treatment for suicidal patients. Systematic Review Registration: Identifier [INPLASY202120078].