Postnatal depression and bonding failure after childbirth are major mental health issues. We investigated 99 pregnant women on three occasions (late in pregnancy and 5 days and 1 month postnatally). Anxiety during pregnancy predicted postnatal depression and bonding failure, whereas negative attitudes towards pregnancy predicted bonding failure. The effect of negative attitudes towards pregnancy on postnatal depression was possibly mediated by bonding failure. Postnatal depression and bonding failure are correlated with different risk factors and run rather independently over the course of the puerperium. Postnatal depression may be predicted by bonding failure.