Pregnancy and delivery are associated with activation of immune-inflammatory pathways which may prime parturients to develop postnatal depression. There are, however, few data on the associations between immune-inflammatory pathways and prenatal depression and physio-somatic symptoms. This study examined the associations between serum zinc, C-reactive protein (CRP), and haptoglobin at the end of term and prenatal physio-somatic symptoms (fatigue, back pain, muscle pain, dyspepsia, obstipation) and prenatal and postnatal depressive and anxiety symptoms as measured using the Edinburgh Postnatal Depression Scale (EPDS), Beck Depression Inventory (BDI), Hamilton Depression Rating Scale (HAMD), and Spielberger's State Anxiety Inventory (STAI). Zinc and haptoglobin were significantly lower and CRP increased at the end of term as compared with non-pregnant women. Prenatal depression was predicted by lower zinc and lifetime history of depression, anxiety, and premenstrual tension syndrome (PMS). The latter histories were also significantly and inversely related to lower zinc. The severity of prenatal EDPS, HAMD, BDI, STAI, and physio-somatic symptoms was predicted by fatigue in the first and second trimesters, a positive life history of depression, anxiety, and PMS, and lower zinc and higher CRP. Postnatal depressive symptoms are predicted by prenatal depression, physio-somatic symptoms, zinc and CRP. Prenatal depressive and physio-somatic symptoms have an immune-inflammatory pathophysiology, while postnatal depressive symptoms are highly predicted by prenatal immune activation, prenatal depression, and a lifetime history of depression and PMS. Previous episodes of depression, anxiety disorders, and PMS may prime pregnant females to develop prenatal and postnatal depressive symptoms via activated immune pathways.