Antidepressant medication (ADM)-only, psychotherapy-only, and their combination are the first-line treatment options for major depressive disorder (MDD). Previous meta-analyses of randomized controlled trials (RCTs) established that psychotherapy and combined treatment were superior to ADM-only for MDD treatment remission or response. The current meta-analysis extended previous ones by determining the comparative efficacy of ADM-only, psychotherapy-only, and combined treatment on suicide attempts and other serious psychiatric adverse events (i.e. psychiatric emergency department [ED] visit, psychiatric hospitalization, and/or suicide death; SAEs). Peto odds ratios (ORs) and their 95% confidence intervals were computed from the present random-effects meta-analysis. Thirty-four relevant RCTs were included. Psychotherapy-only was stronger than combined treatment (1.9% v. 3.7%; OR 1.96 [1.20–3.20], p = 0.012) and ADM-only (3.0% v. 5.6%; OR 0.45 [0.30–0.67], p = 0.001) in decreasing the likelihood of SAEs in the primary and trim-and-fill sensitivity analyses. Combined treatment was better than ADM-only in reducing the probability of SAEs (6.0% v. 8.7%; OR 0.74 [0.56–0.96], p = 0.029), but this comparative efficacy finding was non-significant in the sensitivity analyses. Subgroup analyses revealed the advantage of psychotherapy-only over combined treatment and ADM-only for reducing SAE risk among children and adolescents and the benefit of combined treatment over ADM-only among adults. Overall, psychotherapy and combined treatment outperformed ADM-only in reducing the likelihood of SAEs, perhaps by conferring strategies to enhance reasons for living. Plausibly, psychotherapy should be prioritized for high-risk youths and combined treatment for high-risk adults with MDD.