Background: Suicidal behaviour can be conceptualised as a continuum from suicidal ideation, to suicidal attempts to completed suicide. In this study we identify genes contributing to suicidal behaviour in the depression study RADIANT. Methodology/Principal Findings: A quantitative suicidality score was composed of two items from the SCAN interview. In addition, the 251 depression cases with a history of serious suicide attempts were classified to form a discrete trait. The quantitative trait was correlated with younger onset of depression and number of episodes of depression, but not with gender. A genome-wide association study of 2,023 depression cases was performed to identify genes that may contribute to suicidal behaviour. Two Munich depression studies were used as replication cohorts to test the most strongly associated SNPs. No SNP was associated at genome-wide significance level. For the quantitative trait, evidence of association was detected at GFRA1, a receptor for the neurotrophin GDRA (p = 2e-06). For the discrete trait of suicide attempt, SNPs in KIAA1244 and RGS18 attained p-values of <5e-6. None of these SNPs showed evidence for replication in the additional cohorts tested. Candidate gene analysis provided some support for a polymorphism in NTRK2, which was previously associated with suicidality. Conclusions/Significance: This study provides a genome-wide assessment of possible genetic contribution to suicidal behaviour in depression but indicates a genetic architecture of multiple genes with small effects. Large cohorts will be required to dissect this further.