Objectives Psychological pain may be helpful in conceptualizing suicidal behavior, in that high motivation to avoid pain combined with painful feelings may contribute to an increased risk of suicide. However, no experimental study has tested this hypothesis. The aim of the present study is to provide empirical evidence for the relationship between anhedonia, pain avoidance motivation, and suicidal ideation. Method The sample comprised 40 depressed outpatients and 20 healthy control subjects. All participants completed the Beck Scale for Suicide Ideation (BSS), Beck Depression Inventory, Psychache Scale, Three‐Dimensional Psychological Pain Scale, the monetary incentive delay (MID), and affective incentive delay (AID) tasks. Based on BSS scores, clinical participants were divided into high suicidal ideation (HSI) and low suicidal ideation (LSI) groups. Results In the AID task, the HSI group had longer response times (RTs) under the reward condition than those under the punishment condition (p = .002). The LSI and control groups had shorter RTs under the reward condition compared with those under the neural condition (p <.001 and p = .008, respectively). The LSI group also had shorter RTs under the reward condition than under the punishment condition (p = .003). Pain arousal (r = −.33, p <.01) and BSS scores were significantly negatively correlated with differences in RTs between neutral and reward conditions. Pain avoidance (r = .35, p <.01) and BSS scores were positively correlated with differences in RTs between neutral and punishment conditions. Conclusions The AID task was more sensitive than the MID task for the detection of participants’ motivation in approaching hedonic experiences and avoiding pain. A suicidal mindset is manifested as decreased motivation to experience hedonia and increased motivation to avoid pain, which could be strong predictors of suicidal behavior.