Purpose The aim was to investigate and compare the prevalence of symptoms of depression throughout pregnancy and postpartum among women who at the first pregnancy consultation had (1) record of mental disease, (2) self-reported psychological difficulties but no record of mental disease, or (3) no mental vulnerability. Materials and methods Prospective cohort study. An electronic questionnaire containing the Major Depression Inventory (MDI) was e-mailed to 1494 pregnant women after the first, second and third prenatal care consultation and eight weeks postpartum. High depression score was considered present with MDI scores of 21 or more. Information on sociodemographic, somatic comorbidities and previous psychiatric disorders was collected. We used logistic regression to estimate odds ratios with 95% confidence intervals. Results The overall prevalence of symptoms of depression (MDI >= 21) dropped throughout pregnancy. At the first prenatal care consultation the prevalence was 15.3%, 10.7% in the second trimester, 9.3% in the third trimester and 5.6% postpartum. Logistic regression showed increased risk of symptoms of depression throughout pregnancy and postpartum for both women with mental disease and psychological difficulties. For each outcome, the increase in odds for the psychological difficulties group was about one third of the increase in odds for the mental illness group. Conclusions Self-reported psychological difficulties may indicate higher odds of depressive symptoms. The healthcare staff meeting the pregnant women in early pregnancy have a good opportunity to identify this subgroup of vulnerable women by means of the Pregnancy Health Records and additional questions exploring women's experiences with previous psychological difficulties.