Depressive symptoms and urinary symptoms are both highly prevalent in pregnancy. In the general population, an association is reported between urinary symptoms and depressive symptoms. The association of depressive and urinary symptoms has not yet been assessed in pregnancy. In this study, we assessed (1) the prevalence of depressive symptoms, over-active bladder (OAB) syndrome, urge urinary incontinence (UUI) and stress urinary incontinence (SUI) during and after pregnancy using the Center for Epidemiologic Studies Depression Scale (CES-D) and the Urogenital Distress Inventory (UDI) and (2) the association of depressive symptoms with urinary incontinence and over-active bladder syndrome during and after pregnancy, controlling for confounding socioeconomic, psychosocial, behavioural and biomedical factors in a cohort of healthy nulliparous women. Our data show a significant increase in prevalence of depressive symptoms, UUI, SUI and OAB during pregnancy and a significant reduction in prevalence of depressive symptoms, SUI and OAB after childbirth. UUI prevalence did not significantly decrease after childbirth. In univariate analysis, urinary incontinence and the OAB syndrome were significantly associated with a CES-D score indicative of a possible clinical depression at 36 weeks gestation. However, after adjusting for possible confounding factors, only the OAB syndrome remained significantly associated (OR 4.4 [1.8-10.5]). No association was found between depressive and urinary symptoms at 1 year post-partum. Only OAB was independently associated with depressive symptoms during pregnancy. Possible explanations for this association are discussed.