Suicidality and depression are major global health burdens, with over 700,000 suicide deaths annually and ~280 million people affected by major depressive disorder. Early risk prediction could support prevention, but traditional methods show limited accuracy. This PRISMA-compliant systematic review evaluated machine learning models for predicting suicidality and depression across electronic health records, social media, and wearable sensor data, focusing on performance, unimodal vs multimodal approaches, and ethical reporting. Searches of PubMed, PsycINFO, IEEE Xplore, arXiv, and ACM Digital Library identified eligible studies. EHR-based models showed AUROC 0.70–0.85 for suicide attempt prediction, social media models 0.70–0.80 for suicidal ideation, and wearable sensor models lower performance (0.65–0.75). Multimodal approaches improved performance by 5–10% over unimodal models. However, fewer than 20% of studies reported ethical considerations such as privacy, bias, or deployment safeguards. Overall, machine learning shows moderate-to-good predictive performance, with multimodal models performing best, but ethical reporting remains critically insufficient for clinical translation.