Background: Poor mental health literacy (MHL) is considered a significant barrier to medical students seeking treatment for depression and suicide. This study aimed to assess the level of mental health literacy of depression and suicide among undergraduate medical students as well as to determine its predictors. An online survey was conducted on 361 undergraduate medical students through the Microsoft Team platform using a Google form application-structured questionnaire that included a sociodemographic section, the depression literacy scale (D-Lit), and the modified suicide literacy scale (LOSS). Results: The mean D-Lit score was 7.9 ± 1.8 (total score ranged from 0 to 22), while the mean LOSS score was 4.5 ± 1.7 (total score ranged from 0 to 12). Only 36.8% of students had depression literacy levels higher than the mean depression score, whereas 28.8% had a suicide literacy level exceeding the mean suicide score. A statistically significant positive correlation was revealed between the mean score of depression literacy and that of suicide literacy (r = 0.16, p-value = 0.002). Male gender (p < 0.05), family history of depression (p < 0.05), and history of suicidal ideations (p < 0.01) are all predictors of higher depression literacy scores. Conclusions: According to the results, there is compelling evidence that depression and suicide literacy among medical students was low. Therefore, rather than waiting until a medical student reaches the clinical years, mental health education should be introduced early in medical school curricula or even in high school.