Depression is the most prevalent psychiatric disorder during pregnancy and is associated with psychosocial and clinical obstetric factors. Despite being an important public health issue, there are few studies about this issue in Brazil. A cross-sectional study was carried out, involving 331 pregnant women attending a public primary health service over a one-year period in Rio de Janeiro city, Brazil. Participants were interviewed about their socio-demographic status, obstetric/medical conditions, life events and violence during pregnancy. Depression was assessed using the Composite International Development Interview. The prevalence of depression during pregnancy was 14.2% (95%CI: 10.7-18.5) and associated factors included: previous history of depression and any psychiatric treatment, unplanned pregnancy, serious physical illness and casual jobs. These data emphasize the need for screening for depression and its risk factors during pregnancy in settings where care is available. Psychosocial interventions and social policies need to be devised for this population.