Long non-coding RNAs (lncRNAs) are an emerging class of regulatory RNA that may be implicated in psychiatric disorders. Here we performed RNA-sequencing in the rostral anterior cingulate cortex of 26 depressed suicides and 24 matched controls. We first performed differential lncRNA expression analysis, and then conducted Weighted Gene Co-expression Network Analysis (WGCNA) to identify co-expression modules associating with depression and suicide. We identified 23 differentially expressed lncRNAs (FDR < 0.1) as well as their differentially expressed overlapping and antisense protein-coding genes. Several of these overlapping or antisense genes were associated with interferon signaling, which is a component of the innate immune response. Using WGCNA, we identified modules of highly co-expressed genes associated with depression and suicide and found protein-coding genes highly connected to differentially expressed lncRNAs within these modules. These protein-coding genes were located distal to their associated lncRNAs and were found to be part of several GO terms enriched in the significant modules, which include: cytoskeleton organization, plasma membrane, cell adhesion, nucleus, DNA-binding, and regulation of dendrite development and morphology. Altogether, we report that lncRNAs are differentially expressed in the brains of depressed individuals who died by suicide and may represent regulators of important molecular functions and biological processes.