Context As a group, comorbid anxiety disorders among depressed persons have consistently been found to increase risk of suicide attempt (SA). Growing evidence supports the link between panic attacks (PAs) and suicidality, but prospective evidence is limited and the nature of the linkage remains unclear. The positive‐feedback model of suicide suggests that PAs eliciting catastrophic cognitions may drive SA. Objective To prospectively examine the relationship between PAs, panic symptoms and suicidality in individuals meeting DSM‐IV criteria for past‐year major depressive episodes in a large epidemiological study. Methods In data on 2,864 participants of the National Epidemiological Survey on Alcohol and Related Conditions (NESARC) wave 1 and 2 surveys with depressive disorders, the associations of PAs and panic symptoms with subsequent suicidal ideation (SI) and SAs were assessed using logistic regression. Results Past‐year PAs in wave 1 significantly increased odds for subsequent SI and attempt in the 3‐year follow‐up interval; however, in multivariate analyses, PAs were not a significant predictor, but PAs featuring fear of dying were. Further, among subjects with PAs, fear of dying during a PA increased the odds of subsequent SA sevenfold, even after controlling for comorbid disorders, demographic factors, and other PA symptoms. Conclusion PAs characterized by prominent morbid catastrophic cognitions may mediate the transition to SIs and SAs in subjects with depressive episodes. Presence of these symptoms in clinical settings may serve as a warning sign for future suicidality.