The Edinburgh Postnatal Depression Scale (EPDS) and the State Anxiety Inventory (STAI-S) are widely used self-report measures that still need to be further validated for the perinatal period. The aim of this study was to examine the screening performance of the EPDS and the STAI-S in detecting depressive and anxiety disorders at pregnancy and postpartum. Women screening positive on EPDS (EPDS ≥ 9) or STAI-S (STAI-S ≥ 45) during pregnancy (n = 90), as well as matched controls (n = 58) were selected from a larger study. At 3 months postpartum, 99 of these women were reassessed. At a second stage, women were administered a clinical interview to establish a DSM-IV-TR diagnosis. Receiver operator characteristics (ROC) analysis yielded areas under the curve higher than .80 and .70 for EPDS and STAI-S, respectively. EPDS and STAI-S optimal cut-offs were found to be lower at postpartum (EDPS = 7; STAI-S = 34) than during pregnancy (EPDS = 9; STAI-S = 40). EPDS and STAI-S are reasonably valid screening tools during pregnancy and the postpartum.