Rates of depression were studied in a sample of over 9000 women who were participants in the Avon Longitudinal Study of Pregnancy and Childhood. Assessments of depression were made at 18 and 32 weeks gestation, and at 8 and 32 weeks postpartum. Changes in depressive status across time were modelled using latent Markov modelling methods. This analysis showed that when classification errors were taken into account there was relatively high stability in diagnostic status during pregnancy and after pregnancy. However, the transition from late pregnancy to the early postnatal period showed evidence of increased instability and remission of depression. The net effects of this were that rates of depression tended to decline following childbirth. The implications of these results for a series of issues including measurement errors in depression reports and the prevalence of depression before and after childbirth are discussed.