Persons living with HIV (PWH) are at elevated risk for suicide. We conducted a systematic literature review following PRISMA-P guidelines to examine risk factors associated with suicide as a cause of morbidity among PWH. We searched six electronic databases using search terms (suicide, suicide attempt, self-harm, self-injurious behavior, HIV, AIDS, PWH). We focused on factors that were specific to HIV infection (CD4 count, HIV-1 RNA, and antiretroviral therapy [ART]). The initial search yielded N = 2657 studies. Eligible studies included suicide as an outcome, quantitative study design, and publication in peer-reviewed journals from 1996 through 2020. Fourteen studies met inclusion criteria. PWH share risk factors for suicide found in the general population: psychiatric illness, previous suicide attempt, drug and alcohol misuse. PWH also have HIV-specific risk factors for suicide. HIV diagnosis in the past two years and transmission related to injection drug use were associated with increased risk; HIV-1 RNA, ART, and AIDS-defining illness were not.