We assess (i) whether being married is a protective factor against socio-economic inequalities in suicide, and (ii) whether any such buffering effect varies between countries. We used the data from a European cross-national comparison project, a prospective follow-up of several European population censuses matched with vital statistics. The data encompass 99.5 million person-years aged 30 and above and 25,476 suicides in Austria, Belgium, Denmark, Finland, Turin, Madrid, Norway and Switzerland. Standardised rates were computed and logistic regressions were used to assess educational inequalities. Among the non-married, the lower educational group had an increased risk of dying of suicide compared to the higher group (Odds Ratio (OR) = 1.45). Inequalities among the married were lower (OR = 1.29). In all countries or regions except Austria, the lower educational group had a higher risk of suicide mortality among the non-married than among the married. The buffering effect of being married was not observed for elderly individuals (65 and over). Among younger individuals, the buffering effect of being married on relative inequalities in suicide was stronger in Madrid, Denmark, Norway and Switzerland (but significant only for Denmark and Norway). There was no indication that countries with stronger welfare policies or lower divorce rate had a lower buffering effect. We conclude that being married protects against inequalities in suicide and that this protective effect is not affected by the level of social capital at the country level.