Stressful life events have been associated with high risk of suicidal behavior. The aim of this study was to examine whether persons who died by suicide in Denmark had more frequently been exposed to stressful life events, specifically divorce, death of a close relative, exposure to violence, and imprisonment, when compared to gender and age-matched controls. Data from Danish national registers were obtained for the period of 2000–2010 and a nested case-control design was applied. The association between exposure to stressful life events and suicide was examined using logistic regression analysis. In all, 7,115 suicides were identified during the 11 years of follow-up. For each of these, 20 age- and gender-matched controls were randomly selected (n = 142,300). Cases who died by suicide had an odds ratio of 9.3 (CI-95%: 7.8–11.0) of having been exposed to imprisonment five or more times when compared to controls. People who died by suicide had 1.5-fold (CI-95%: 1.3–1.6) higher risk of having experienced a divorce. Stressful life events, such as divorce and imprisonment, were more frequent in temporal proximity to the date of death among the suicide cases than for end of exposure for controls (p < .001 and p < .001, respectively). Our findings confirm that, using nationwide data, stressful life events are positively associated to subsequent suicide. Causal pathways linking the two may, however, be indirect.