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Object. Sex differences in suicide attempts in first‐episode and drug‐naïve (FEDN) patients with major depression disorder remain unclear. This study is aimed to examine sex differences in the prevalence and clinical correlates of suicide attempts in FEDN patients with MDD. Materials and Methods. A cross‐sectional study was conducted on the FEDN patients with MDD, and 1,718 patients' demography information and clinical data were collected. The Hamilton Depression Scale (HAMD), Hamilton Anxiety Scale (HAMA), and Positive and Negative Syndrome Scale (PANSS) were used to evaluate symptoms of depression, anxiety, and psychotic symptoms, respectively. Thyroid hormones, lipid profile, and fasting blood glucose (FBG) were measured. A history of suicide attempt was verified based on medical records and interviews with patients and their families. A 2 × 2 ANOVA was used to compare the clinical parameters of MDD patients in the suicide attempts subgroup and the sex subgroup, as well as whether there is an interaction between these two subgroups. Univariate analysis and multivariate binary logistic regression analyses were used to assess factors associated with suicide attempts. Results. There was no sex difference in rates of suicide attempt among FEND patients with MDD (male: 19.0% vs. female: 20.7%, χ2 = 0.663, p = 0.416). Compared to males and females without suicide attempts, those with suicide attempts had higher levels of LDL‐C and lower levels of HDL‐C. There was a statistically significant difference in the course of disease, educational level, and TG in the female group but not in the male group. In both male and female patients, Lg (TPOAb) and severe anxiety symptoms were found to be positively correlated with suicide attempts. In addition, in male patients, suicide attempts were positively correlated with TC and FBG, while negatively correlated with body mass index. In female patients, there was a positive correlation between the severity of depression and elevated systolic blood pressure with suicide attempts (all p < 0.05). Conclusion. Our study showed that there is no sex difference in the prevalence of suicide attempts in FEDN patients with MDD and there are differences in factors related to suicide attempts between male and female MDD patients. [ABSTRACT FROM AUTHOR]