Our objective was to test the hypothesis that nulliparous women with a history of miscarriage have an increased risk of depression during late pregnancy, and at 1, 6, and 12 months postpartum compared to women without a history of miscarriage. We conducted secondary analysis of a longitudinal cohort study, the First Baby Study, and compared 448 pregnant women with a history of miscarriage to 2,343 pregnant women without a history of miscarriage on risk of probable depression (score >12 on the Edinburgh Postnatal Depression Scale). Logistic regression models were used to estimate odds ratios at each time point and generalized estimating equations were used to obtain estimates in longitudinal analysis. Women with a history of miscarriage were not more likely than woman without a history of miscarriage to score in the probable depression range during the third trimester or at 6 or 12 months postpartum but were more likely at 1 month postpartum, after adjustment for sociodemographic factors (OR 1.66, 95% CI 1.03-2.69). Women with a history of miscarriage may be more vulnerable to depression during the first month postpartum than women without prior miscarriage, but this effect does not appear to persist beyond this time period. We support the promotion of awareness surrounding this issue and recommend that research is planned to identify risk factors that may position a woman with a history of miscarriage to be at higher risk for depression.