The aim of the current study was to assess the risk for post-partum depression among women delivering during the COVID-19 pandemic as compared to the risk among women delivering before the COVID-19 pandemic. A cohort study was performed among women delivering singletons at term which were recruited in the maternity wards of the Soroka University Medical Center. Recruitment was done during the COVID-19 strict isolation period (March 18 and April 29, 2020). Women delivering during the COVID-19 pandemic completed the Edinburgh Postnatal Depression Scale (EPDS), and the results were compared to women delivering at the same medical center before the COVID-19 pandemic. Multivariable logistic regression models were constructed to control for potential confounders. A total of 223 women who delivered during the COVID-19 strict isolation period were recruited. Women delivering during the COVID-19 pandemic had lower risk of having a high (> 10) or very high (≥ 13) EPDS score as compared with women delivering before the COVID-19 pandemic (16.7% vs 31.3%, p = 0.002, and 6.8% vs 15.2%, p = 0.014, for EPDS ≥ 10 and EPDS ≥ 13, respectively). These results remained similar in the multivariable logistic regression models, for both EPDS score ≥ 10 and EPDS score ≥ 13, while controlling for maternal age, ethnicity, marital status, and adverse pregnancy outcomes (adjusted OR 0.4, 95% CI 0.23-0.70, p = 0.001 and adjusted OR 0.3, 95% CI 0.15-0.74, p = 0.007 for EPDS score > 10 and > 13, respectively). In our population, delivering during the COVID-19 pandemic was independently associated with lower risk of post-partum depression.