This study evaluates the association between postpartum depression and interruption of exclusive breastfeeding in the first two months of life. Cohort study of 429 infants < 20 days of age to four primary health care units in Rio de Janeiro, Brazil. Interruption of exclusive breastfeeding (outcome) was defined as the introduction of water, other types of liquids, milk, or formulas or any food. Postpartum depression was assessed using the Edinburgh Post-Natal Depression Scale. Associations between variables were expressed as prevalence ratios (baseline) and risk ratios (follow-up), with their respective 95% confidence intervals, estimated by Poisson regression with robust variance. Children of mothers with postpartum depressive symptoms were at higher risk of early interruption of exclusive breastfeeding in the first and second months of follow-up (RR = 1.46; 95%CI: 0.98-2.17 and RR = 1.21; 95%CI: 1.02-1.45, respectively). Considering mothers that were exclusively breastfeeding at the first month, postpartum depression was not associated with interruption of exclusive breastfeeding in the second month (RR = 1.44; 95%CI: 0.68-3.06). The results indicate the importance of maternal mental health for the success of exclusive breastfeeding.