Actually, this is a myth. Time for some fun facts:
The reason that Sweden in the 1950s had one of the highest suicide rates in the world is largely due to over-reporting of suicide compared to other countries. See, in Lutheran, bureaucratic Sweden, suicide wasn't nearly as shameful as in Catholic countries. It was largely considered "a private matter" by people and therefore families weren't publicly shamed with uncomfortable publications in newspapers, but the acts were reported to the authorities as it had happened. This lead to suicide being actually reported at real rates in Sweden.
One of the things that you see when you look at new lists is that it's basically all post-Soviet states that are really high. Sweden is actually higher than the United States on the list, but only by 5 or 10 spots.
American conservatives have picked up on the suicide meme to try to somehow say that socialism kills the soul and therefore, people kill themselves. Of course, people in the Scandinavian countries are actually quite happy, do very well on all the world indexes and so forth. So, don't propagate this myth any further.