Depression during and after pregnancy affects up to 20% of pregnant women, but the biological underpinnings remain incompletely understood. As pregnancy progresses, the immune system changes to facilitate fetal development, leading to distinct fluctuations in the production of pro-inflammatory factors and neuroactive tryptophan metabolites throughout the peripartum period. Therefore, it is possible that depression in pregnancy could constitute a specific type of inflammation-induced depression. Both inflammatory factors and kynurenine metabolites impact neuroinflammation and glutamatergic neurotransmission and can therefore affect mood and behavior. To determine whether cytokines and kynurenine metabolites can predict the development of depression in pregnancy, we analyzed blood samples and clinical symptoms in 114 women during each trimester and the postpartum. We analyzed plasma IL-1β, IL-2, -6, -8, -10, TNF, kynurenine, tryptophan, serotonin, kynurenic- quinolinic- and picolinic acids and used mixed-effects models to assess the association between biomarkers and depression severity. IL-1β and IL-6 levels associated positively with severity of depressive symptoms across pregnancy and the postpartum, and that the odds of experiencing significant depressive symptoms increased by >30% per median absolute deviation for both IL-1β and IL-6 (both P = 0.01). A combination of cytokines and kynurenine metabolites in the 2nd trimester had a >99% probability of accurately predicting 3rd trimester depression, with an ROC AUC > 0.8. Altogether, our work shows that cytokines and tryptophan metabolites can predict depression during pregnancy and could be useful as clinical markers of risk. Moreover, inflammation and kynurenine pathway enzymes should be considered possible therapeutic targets in peripartum depression.