BACKGROUND: Anaemia and depression are common conditions which affect pregnant and postpartum women. Evidence points to associations between anaemia and iron deficiency during pregnancy, and mental health disorders like depression. However, it is unclear the association between improvement in anaemia severity or iron levels during pregnancy and incidence of postpartum depression. OBJECTIVES: This study examined association between improvement in anaemia severity and iron levels during pregnancy after four weeks of treatment and the incidence of depression at two weeks postpartum. METHODS: This cohort study nested within a clinical trial in Lagos Nigeria, included 438 anaemic (haemoglobin concentration < 11 g/dL) pregnant women at 20-32 weeks' gestation without depression followed up until two weeks postpartum. Participants received either intravenous or oral iron treatment at enrolment. Repeat screening for anaemia and iron deficiency (serum ferritin < 30ng/mL) was done at four weeks post-treatment. The outcome, depression (score > 10), was measured at two weeks postpartum using validated Edinburgh Postnatal Depression Scale. Associations between improvement in anaemia severity and iron levels after four weeks post-enrolment versus depression at two weeks postpartum were examined using logistic regression analysis, adjusting for confounders. RESULTS: Mean age of women was 29.5 ± 5.6years. Median haemoglobin concentration of 9.3 (IQR: 8.8-9.8)g/dL and median serum ferritin 44.4 (IQR: 22.1-73.7)ng/mL at enrolment. Prevalence of postpartum depression was 5.8% (95%CI: 3.8-8.5%). There was a non-significant association between improvement in anaemia severity at four weeks post-enrolment and postpartum depression, aOR: 0.15 (95%CI: 0.02-1.15). The odds for postpartum depression was nearly five times higher in women who had postpartum haemorrhage, aOR: 4.90 (95%CI: 1.18-20.36). In the subgroup with iron deficiency (n = 148), no association was found between an improvement in iron levels four weeks post-enrolment and the odds for postpartum depression, aOR: 1.14 (95%CI: 0.09-3.93). CONCLUSION: Improvement in anaemia severity during late pregnancy was non-significantly associated with lower risk for postpartum depression; no association between improvement in iron levels and postpartum depression. It is likely that an improvement in anaemia severity in early pregnancy will lessen the burden of postpartum depression; however, this study is limited by sample size to draw this conclusion.