More than 300 million people worldwide experience depression; annually, ~800,000 people die by suicide. Unfortunately, conventional interview-based diagnosis is insufficient to accurately predict a psychiatric status. We developed machine learning models to predict depression and suicide risk using blood methylome and transcriptome data from 56 suicide attempters (SAs), 39 patients with major depressive disorder (MDD), and 87 healthy controls. Our random forest classifiers showed accuracies of 92.6% in distinguishing SAs from MDD patients, 87.3% in distinguishing MDD patients from controls, and 86.7% in distinguishing SAs from controls. We also developed regression models for predicting psychiatric scales with R2 values of 0.961 and 0.943 for Hamilton Rating Scale for Depression-17 and Scale for Suicide Ideation, respectively. Multi-omics data were used to construct psychiatric status prediction models for improved mental health treatment.