The study reported here is part of a critical realist multilevel study. It seeks to identify and explain complex perinatal contextual social and psychosocial mechanisms that may influence the developmental origins of health and disease, with a focus on the role of postnatal depression. The aims of the greater study are to: (1) describe the phenomenon of postnatal depression in South Western Sydney; and (2) identify mechanisms that would add to our understanding of the psycho-social causes of maternal depression. This paper will move beyond our previous quantitative descriptions of individual-level predictors of depressive symptoms by seeking the views of local mothers and practitioners, to explain the mechanisms that might be involved. The study was set in South Western Sydney, New South Wales, Australia. An Explanatory Theory Building Method was used. The previously reported quantitative study was a non-linear principal component analysis and logistic regression study of 15,389 months delivering in 2002 and 2003. This intensive qualitative study used open coding of interviews, of seven practitioners and three naturally occurring mothers groups, to enable maximum emergence. The theoretical concepts identified were: attachment and nurturing, infant temperament, unplanned pregnancy and sole parenthood, support for mothers, access to services, stress, financial hardship, isolation and marginalisation, mothers’ “loss of control” and “power”, and expectations and dreams. Being alone and expectations lost emerged as possible triggers of stress and depression for mothers. These findings might also apply to others who have their dreams shattered during life’s transitions. In these situations social and cultural context can either nurture and support or marginalise and isolate. The challenge for policy and practice is to support mothers and their partners during the transition to parenthood within a challenging social and material context.