Background: Women taking advantage of medically assisted reproduction (MAR) techniques may differ from spontaneously conceiving women (nonMAR) in risk of depression and/or anxiety. We aimed to investigate possible differences between MAR and nonMAR through the use of the Edinburgh Postnatal Depression Scale in a sample of Italian-speaking women at their third trimester of pregnancy. Methods: We administered the Edinburgh Postnatal Depression Scale (EPDS) to two groups of pregnant women, MAR and nonMAR, at the third trimester of pregnancy (T0), one month after delivery (T1), and three months after delivery (T2) from February 2013 to December 2019. EPDS total scores cutoffs were ≥9 for risk of depression, 9–11 mild depression, ≥12 major depression, and the EPDS-3A cluster ≥4 was a proxy for anxiety. Results: Included were 1303 nonMAR women and 92 MAR, an expected disproportion. NonMAR and MAR women did not differ on depression or anxiety at any assessment timepoint. MAR women were older than nonMAR, consumed more alcohol and medical drugs, and displayed more complications during pregnancy. Scoring over the threshold on depression risk was associated with foreign nationality, unemployment, psychiatric history of the patient, family or partner, psychiatric problems in past pregnancies, hyperemesis, premenstrual syndrome (PMS), and stressful life events in the last year at baseline, and, for some of them, at other timepoints. In contrast, MAR past or current was associated with having suprathreshold depression at the first-month postpartum follow-up. Conclusions: Taken together, our data show that women opting for MAR do not differ from spontaneously conceiving women regarding psychiatric outcomes but do differ on some sociodemographic and clinical variables.