Background: Neuro-immune pathways are engaged in antenatal and postpartum depression. Aims: To determine if immune profiles influence the severity of prenatal depression above and beyond the effects of adverse childhood experiences (ACE), premenstrual syndrome (PMS), and current psychological stressors. Methods: Using the Bio-Plex Pro human cytokine 27-plex test kit, we assayed M1 macrophage, T helper (Th)-1, Th-2, Th-17, growth factor, chemokine, and T cell growth immune profiles as well as indicators of the immune inflammatory response system (IRS) and compensatory immunoregulatory system (CIRS) in 120 pregnant females in the early (<16 weeks) and late (>24 weeks) pregnancy. The Edinburgh Postnatal Depression Scale (EPDS) was used to assess severity of antenatal depression. Results: Cluster analyses showed that the combined effects of ACE, relationship dissatisfaction, unwanted pregnancy, PMS, and upregulated M1, Th-1, Th-2, and IRS immune profiles and the ensuing early depressive symptoms shape a stress-immune-depression phenotypic class. Elevated IL-4, IL-6, IL-8, IL-12p70, IL-15, IL-17, and GM-CSF are the cytokines associated with this phenotypic class. All immune profiles (except CIRS) were significantly associated with the early EPDS score, independent of the effects of psychological variables and PMS. There was a shift in immune profiles from early to late pregnancy, with an increase in the IRS/CIRS ratio. The late EPDS score was predicted by the early EPDS score, adverse experiences, and immune profiles, mainly the Th-2 and Th-17 phenotypes. Conclusions: Activated immune phenotypes contribute to early and late perinatal depressive symptoms above and beyond the effects of psychological stressors and PMS.