Pregnancy is a unique experience in women’s life, requiring a great ability of adaptation and self-reorganization; vulnerable women may be at increased risk of developing depressive symptoms. This study aimed to examine the incidence of depressive symptomatology during pregnancy and to evaluate the role of affective temperament traits and psychosocial risk factors in predicting them. We recruited 193 pregnant women, collected data regarding sociodemographic, family and personal clinical variables, social support and stressful life events and administered the Mood Disorder Questionnaire (MDQ), the Patient Health Questionnaire-9 (PHQ-9), and the Temperament Evaluation of Memphis, Pisa, Paris and San Diego-Autoquestionnaire (TEMPS-A). In our sample, prevalence of depressive symptomatology was 41.45% and prevalence of depression was 9.85% (6.75% mild and 3.10% moderate depression). We have chosen a cutoff >4 on PHQ-9 to identify mild depressive symptoms which may predict subsequent depression. Statistically significant differences between the two groups were found in the following factors: gestational age, occupation, partner, medical conditions, psychiatric disorders, family psychiatric history, stressful life events, and TEMPS-A mean scores. In our sample mean scores on all affective temperaments but the hyperthymic, were significantly lower in the control group. Only depressive and hyperthymic temperaments were found to be, respectively, risk and protective factors for depressive symptomatology. The current study confirms the high prevalence and complex aetiology of depressive symptomatology during pregnancy and suggests that affective temperament assessment seems to be a useful adjunctive instrument to predict depressive symptomatology during pregnancy and postpartum.