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Background: Although many authors have investigated the impact of sex on the association between socio-economic status (SES) and suicide, a definite consensus has not yet emerged. Using Danish population registration data including 15 648 suicide deaths of individuals aged 18–65 year during 1981–97 and matched population controls, we investigate the associations of multiple SES factors with suicide risk and explore the sex-specific aspects of these associations. Methods: We use conditional logistic regression models to estimate the statistical relationship between SES, sex and suicide. Results: SES, proxied by low income, unskilled blue-collar work, non-specific wage work and unemployment, increases suicide risk more prominently for men than for women. Marital status has a comparable influence on suicide risk in both sexes; parenthood is protective against suicide, and the effect is larger for women. Living in a large city raises suicide risk for women but reduces it for men; residents with a foreign citizenship in Denmark have a lower risk of suicide compared with Danish citizens, but this protection is confined to male immigrants. Conclusions: Our results demonstrate that suicide risk is associated with a range of SES proxies but the strength and/or direction of the association can differ by sex. Risk assessement and, therefore, prevention approaches should take this into consideration. [ABSTRACT FROM PUBLISHER]