This study examined the associations between maternal depression and oxytocin in pregnancy, caregiving sensitivity and adult attachment style, and infant temperament. One hundred and six women recruited from a public hospital antenatal clinic in Australia, and their infants completed assessments at three time points (Time 1: pregnancy; Time 2: 3‐month postpartum; Time 3: 12‐month postpartum). Mothers completed self‐report questionnaires assessing maternal depression symptom severity at Time 1–3, adult attachment style at Time 2, and infant temperament at Time 3. At Time 1, they also provided a blood sample to assess peripheral oxytocin levels, and at Time 2, participated in a parent–child interaction session, which was later coded for caregiving behavior (sensitivity). Neither maternal depression nor lower levels of oxytocin during pregnancy predicted difficult infant temperament; rather, it was predicted by non‐Caucasian ethnicity. When all other variables were free to vary, adult attachment avoidance mediated an association between maternal depression during pregnancy and difficult infant temperament. Results highlight the potential value of interventions focusing on adult attachment insecurity for pregnant women and raise questions about associations between culture/ethnicity and infant temperament.