BACKGROUND: Depression in women is associated with social deprivation and violence. We describe the prevalence and risk factors for depression during pregnancy, in particular the association with poverty and violence, in a Brazilian setting. METHOD: A cross-sectional survey of women in the third trimester of pregnancy attending a public hospital maternity clinic from August 2003 to July 2004 in Rio de Janeiro. Participants were interviewed about their sociodemographic status, obstetric and medical conditions, substance use, stressful life events, and social support. Depression was diagnosed through the Composite International Diagnostic Interview (CIDI). RESULTS: A total of 230 of 240 eligible women consented to participate. The 12-month prevalence of depression was 19.1% (95% CI 14.4-24.9). On multivariate analyses, having been educated beyond primary school was protective (OR 0.5, 95% CI 0.2-0.9). Risk factors were: being divorced or widowed (OR 4.9, 95% CI 1.3-18.3); a history of depression before pregnancy (OR 7.9, 95% CI 3.1-20.5); loss of an intimate relationship (OR 8.4, 95% CI 3.3-21.4), experienced financial difficulties (OR 6.6, 95% CI 2.5-17.2) and having been exposed to violence in the previous year (OR 4.2, 95% CI 1.5-11.8). CONCLUSIONS: Depression is common during pregnancy and is associated with indicators of socio-economic deprivation, violence and the loss of an intimate relationship, and with a previous history of depression. Psychosocial interventions and appropriate social policies need to be implemented in this population to reduce the burden of maternal depression.