Importance: Hormonal sensitivity may contribute to the risk of depression in some women, as observed during the premenstrual, postpartum, and perimenopausal phases, and when initiating hormonal contraception (HC). However, little evidence exists to support that such depressive episodes are linked across the reproductive life span. Objective: To determine whether prior depression associated with HC initiation is coupled with a higher risk of postpartum depression (PPD) than prior depression not associated with HC initiation. Design, Setting, and Participants: This cohort study used Danish health registry data collected from January 1, 1995, through December 31, 2017, and analyzed from March 1, 2021, through January 1, 2023. All women living in Denmark born after 1978 with their first delivery between January 1, 1996, and June 30, 2017, were eligible for inclusion; 269354 met these criteria. Women were then excluded if they had never used HC or if they had a depressive episode before 1996 or within 12 months prior to delivery. Exposures: Prior depression associated with vs not associated with HC initiation, ie, if developed within 6 months after start of an HC exposure or not. Depression was defined as a hospital diagnosis of depression or filling a prescription for antidepressant medication. Main Outcomes and Measures: Crude and adjusted odds ratios (ORs) were calculated for the incidence of PPD defined as the development of depression within 6 months after first delivery. Results: Of 188648 first-time mothers, 5722 (3.0%) (mean [SD] age, 26.7 [3.9] years) had a history of depression associated with initiation of HC use, and 18431 (9.8%) (mean [SD] age, 27.1 [3.8] years) had a history of depression not associated with the initiation of HC. Women with HC-associated depression had a higher risk of PPD than women with prior non-HC-associated depression (crude OR, 1.42 [95% CI, 1.24-1.64]; adjusted OR, 1.35 [95% CI, 1.17-1.56]). Conclusions and Relevance: These findings suggest that a history of HC-associated depression may be associated with a higher risk of PPD, supporting that HC-associated depression may indicate PPD susceptibility. This finding offers a novel strategy in clinical PPD risk stratification and points to the existence of a hormone-sensitive subgroup of women.