It is well-known that suicidal behavior is very common among criminal justice clients, both among those serving community sentences and among prison inmates. Suicide rates among prisoners are considerably higher than in the general population. There is great concern over high rates of suicide and suicidal behavior in prisons, with suicide prevention becoming a major challenge for penal institutions in many countries. In particular, Italian prisons are facing an important crisis. The aim of the present descriptive review is to investigate suicide in prisons, with particular attention to the Italian situation. To date, there are no comprehensive data on this phenomenon for reasons that are critically discussed in this paper. First, we focus on epidemiology, and try to summarize existing heterogeneous data. Demographic, criminological and clinical risk factors associated with suicide in prisoners are then examined. Understanding the process by which certain prisoners, under specific circumstances, contemplate, plan and decide to end their lives is critical to suicidal prevention, as discussed in the third part of the review. Finally, we suggest possible future investigations to improve detection of specific risk factors and we discuss the challenges to be faced in order to decrease suicide rate among prisoners.