SummarySleep quality and depression during pregnancy often affect women's adaptation to motherhood and are linked with adverse maternal and neonatal outcomes. Using a prospective cohort study comprising 190 pregnant women in central Taiwan, we investigated the trajectories of sleep quality and depressive symptoms and their associated predictors in perinatal women from pregnancy to postpartum. Sleep and depressive symptoms were assessed using the Pittsburgh Sleep Quality Index and the Edinburgh Postnatal Depression Scale, respectively, from mid‐pregnancy to 3 months postpartum. We used group‐based trajectory modelling and logistic regression modelling to analyse the data collected from the structured questionnaires. Pregnant women (50.5% primipara) with a mean (standard deviation) age of 32.3 (4.1) years were included. We identified three distinctive classes of sleep quality trajectories during the perinatal period: ‘stable good’ (18.4%), ‘increasing poor’ (48.9%), and ‘stable poor’ (32.6%). We further detected three stable trajectories of depressive symptoms: ‘stable low’ (36.3%), ‘stable mild’ (42.1%), and ‘stable high’ (21.6%). A significant association between sleep quality and depression trajectories was evident (p < 0.001). High fatigue symptoms and low social support predicted the high trajectories of poor sleep and depressive symptoms. Distinctive dynamic sleep quality and stable depression trajectories were characterised. Our findings revealed that both the sleep and depression trajectories were closely associated with one another, with common predictors of fatigue symptoms and social support. The early assessment of maternal sleep and depression status is important for identifying at‐risk women and initiating interventions tailored to perinatal women to improve their sleep and mental health.