Background: Over 300,000 women in Russia face perinatal depressive disorders every year, according to the data for middle-income countries. This study is the first attempt to perform a two-phase study of perinatal depressive disorders in Russia. The paper examines risk factors for perinatal depressive symptoms, such as marital satisfaction, birth experience, and childcare sharing. Methods: At 15–40 gestational weeks (M = 30.7, SD = 6.6), 343 Russian-speaking women, with a mean age of 32 years (SD = 4.4), completed the Edinburgh Postnatal Depression Scale, Couples Satisfaction Index, Birth Satisfaction Scale, and provided socio-demographic data. Two months after childbirth, 190 of them participated in the follow-up. Results: The follow-up indicated that 36.4% of participants suffered from prenatal depression and 34.3% of participants had postnatal depression. Significant predictors of prenatal depression were physical well-being during pregnancy (β = −0.25; p = 0.002) and marital satisfaction during pregnancy (β = −0.01; p = 0.018). Birth satisfaction (β = −0.08; p = 0.001), physical well-being at two months after delivery (β = −0.36; p < 0.01), and marital satisfaction during pregnancy (β = 0.01; p = 0.016) and after delivery (β = −0.02; p < 0.01) significantly predicted postnatal depression at 2 months after delivery. Conclusion: Our study identified that physical well-being during pregnancy and marital satisfaction during pregnancy significantly predicted prenatal depression. Birth satisfaction, physical well-being at 2 months after delivery, and marital satisfaction during pregnancy and after delivery significantly predicted postnatal depression. To our knowledge, this is the first study of perinatal depressive disorders in the context of marital satisfaction and birth satisfaction in the Russian sample. The problem of unequal childcare sharing is widely spread in Russia. Adjusting spousal expectations and making arrangements for childcare may become the focus of psychological work with the family. The availability of psychological support during pregnancy and labor may be important in the context of reducing perinatal depression risks.