Physiological and psychological underpinnings of suicidal behavior remain ill-defined and lessen timely diagnostic identification of this subgroup of patients. Arterial stiffness is associated with autonomic dysregulation and may be linked to major depressive disorder (MDD). The aim of this study was to investigate the association between arterial stiffness by photo-plethysmogram (PPG) in MDD with and without suicidal ideation (SI) by applying multiscale tone entropy (T-E) variability analysis. Sixty-one 10-min PPG recordings were analyzed from 29 control, 16 MDD patients with (MDDSI+) and 16 patients without SI (MDDSI-). MDD was based on a psychiatric evaluation and the Mini-International Neuropsychiatric Interview (MINI). Severity of depression was assessed using the Hamilton Depression Rating Scale (HAM-D). PPG features included peak (systole), trough (diastole), pulse wave amplitude (PWA), pulse transit time (PTT) and pulse wave velocity (PWV). Tone (Diastole) at all lags and Tone (PWA) at lags 8, 9, and 10 were found to be significantly different between the MDDSI+ and MDDSI- group. However, Tone (PWA) at all lags and Tone (PTT) at scales 3-10 were also significantly different between the MDDSI+ and CONT group. In contrast, Entropy (Systole), Entropy (Diastole) and Tone (Diastole) were significantly different between MDDSI- and CONT groups. The suicidal score was also positively correlated (r = 0.39 ~ 0.47; p < 0.05) with systolic and diastolic entropy values at lags 2-10. Multivariate logistic regression analysis and leave-one-out cross-validation were performed to study the effectiveness of multi-lag T-E features in predicting SI risk. The accuracy of predicting SI was 93.33% in classifying MDDSI+ and MDDSI- with diastolic T-E and lag between 2 and 10. After including anthropometric variables (Age, body mass index, and Waist Circumference), that accuracy increased to 96.67% for MDDSI+/- classification. Our findings suggest that tone-entropy based PPG variability can be used as an additional accurate diagnostic tool for patients with depression to identify SI.