Background: Suicidal ideation is highly prevalent in Major Depressive Disorder (MDD). However, the factors determining who will transition from ideation to attempt are not established. Emerging research points to suicide capability (SC), which reflects fearlessness of death and increased pain tolerance, as a construct mediating this transition. This Canadian Biomarker Integration Network in Depression study (CANBIND-5) aimed to identify the neural basis of SC and its interaction with pain as a marker of suicide attempt. Methods: MDD patients (n = 20) with suicide risk and healthy controls (n = 21) completed a self-report SC scale and a cold pressor task measuring pain threshold, tolerance, endurance, and intensity at threshold and tolerance. All participants underwent a resting-state brain scan and functional connectivity was examined for 4 regions: anterior insula (aIC), posterior insula (pIC), anterior mid-cingulate cortex (aMCC) and subgenual anterior cingulate cortex (sgACC). Results: In MDD, SC correlated positively with pain endurance and negatively with threshold intensity. Furthermore, SC correlated with the connectivity of aIC to the supramarginal gyrus, pIC to the paracingulate gyrus, aMCC to the paracingulate gyrus, and sgACC to the dorsolateral prefrontal cortex. These correlations were stronger in MDD compared to controls. Only threshold intensity mediated the correlation between SC and connectivity strength. Limitations: Resting-state scans provided an indirect assessment of SC and the pain network. Conclusions: These findings highlight point to a neural network underlying SC that is associated with pain processing. This supports the potential clinical utility of pain response measurement as a method to investigate markers of suicide risk.