(1) Background: Infantile colic (IC) is a functional gastrointestinal disorder that affects around 20% of infants, and postpartum (PPD) depression is a common disorder that affects between 15 and 22% of mothers. In this study, our objective was to evaluate the relationship between the maternal psychological state in the first postpartum year and IC, with the aim of assessing the importance of feeding type in infants and maternal well-being. (2) Methods: A cross-sectional study was conducted in women in their first year postpartum. Demographic, medical, and obstetric data of the mothers and infants were collected, and the type of feeding was identified. The emotional status of the mother was evaluated using the Edinburgh Postnatal Depression Scale (EPDS), and the Infant Colic Severity Questionnaire (ICSQ) was used for IC diagnosis. (3) Results: A total of 528 women were analyzed, of which 170 (32%) were diagnosed with possible PPD. Two-thirds of the women without depression breastfed their babies on demand; therefore, we report that exclusive breastfeeding (EBF) appears to reduce the risk of possible PPD (p < 0.001; OR = 2.353). IC was present in 39% of babies, and around 70% of babies without colic were breastfed on demand. Infants who were not exclusively breastfed showed almost double the risk of developing colic (p = 0.016; OR = 1.577). There was a significant association between the EPDS and ICSQ scores (p < 0.001). More than half of the women with PPD had babies with colic. However, our results show that 75% of babies without colic had mothers who reported optimal postpartum emotional well-being (p < 0.001; OR = 2.105). (4) Conclusions: The results of this study suggest that postpartum maternal psychological well-being reduces the risk of IC. Therefore, we report that EBF on demand, together with a healthy emotional state in new mothers, may be a protective factor against colic in infants.