Obesity and depression are two common medical problems that pregnant women present with in antenatal care. Overweight and obesity at the beginning of the pregnancy, and excessive weight gain during pregnancy, are independent explanatory variables for fetal birthweight and independent risk factors for giving birth to a large for gestational age (LGA) infant. However, the effect of co-morbid depression has received little attention. This study set out to investigate if maternal body mass index (BMI) in early pregnancy moderates antenatal depression effects on infant birthweight. 3965 pregnant women participated in this longitudinal cohort study, where cases (n = 178) had Edinburgh Postnatal Depression Scale (EPDS) score ≥ 17 in gestational week 17 or 32, and remaining women (n = 3787) were used as controls. The influence of maternal BMI and antenatal depressive symptoms on standardized birthweight was evaluated by analysis of covariance, with adjustment for relevant confounders. Depressed women with BMI 25.0 kg/m2 or more gave birth to infants with significantly greater standardized birthweight than non-depressed overweight women, whereas the opposite pattern was noted in normal weight women (BMI by antenatal depressive symptoms interaction; F(1,3839) = 6.32; p = 0.012. The increased birthweight in women with co-prevalent overweight and depressive symptoms was not explained by increased weight gain during the pregnancy. Maternal BMI at the beginning of pregnancy seems to influence the association between antenatal depressive symptoms and infant birthweight, but in opposite directions depending on whether the pregnant women is normal weight or overweight. Further studies are needed to confirm our finding.