Suicide is an important scientific phenomenon. Yet its causes remain poorly understood. This study documents a paradox: the happiest places have the highest suicide rates. The study combines findings from two large and rich individual‐level data sets — one on life satisfaction and another on suicide deaths — to establish the paradox in a consistent way across U.S. states. It replicates the finding in data on Western industrialized nations and checks that the paradox is not an artifact of population composition or confounding factors. The study concludes with the conjecture that people may find it particularly painful to be unhappy in a happy place, so that the decision to commit suicide is influenced by relative comparisons.