Trait impulsivity is a known risk factor for suicidality, and the prefrontal cortex plays a key role in impulsivity and its regulation. However, the relationship between trait impulsivity, neural basis, and suicidality has been inconsistent. Therefore, this study aimed to explore the relationship between impulsivity and its structural correlates (prefrontal gray matter volume), suicidal ideation, and actual suicide attempts. A total of 87 individuals with major depressive disorder participated in study, and the gray matter volume of the prefrontal regions was extracted from T1 images based on region of interest masks. The variables for the mediation models were selected based on correlation analysis and tested for their ability to predict suicide attempts, with impulsivity and suicidal ideation as the mediation variables and gray matter volume as the independent variable. A significant correlation was observed between suicidal ideation and the left dorsolateral prefrontal cortex and right dorsomedial prefrontal cortex. The dual-mediation model revealed a significant indirect relationship between gray matter volume in both regions and suicide attempts mediated by motor impulsivity and suicidal ideation. The counterintuitive positive relationship between gray matter volume and suicidality was also discussed.