Background: Depression during pregnancy, the most prevalent mental health problem, can alter fetal development and has important consequences on the offspring's physical and mental health. Evidence suggests increasing rates of prevalence of depression in low-income settings such as Ethiopia. However, there are a few studies on the topic with inconsistent results. Therefore, the aim of this study was to investigate the prevalence of antenatal depression and its correlates among pregnant women in Ethiopia. Methods: A community-based cross-sectional study was conducted in the West Shoa zone, Oromia regional state, Ethiopia, from February 20, 2018, to March 20, 2018. Pregnant women were recruited by using cluster sampling techniques. Data on socio-demographic, obstetric, and psychosocial characteristics were collected by intervieweradministered questionnaire. Patient Health Questionnaire (PHQ-9) was used to assess depression during pregnancy. Bivariable and multivariable logistic regression analyses were fitted to identify correlates of depression. The level of statistical significance was declared at p value < 0.05. Results: The mean age (± SD) of the pregnant women was 28.41 ± 5.9 years. The prevalence of depression during pregnancy was 32.3%. When we adjusted for possible confounding variables in the final model; those pregnant mothers with an average monthly income of less than 500 (18 USD) Ethiopian birr [AOR = 3.19, 95% CI (1.47, 6.96)], unplanned pregnancy [AOR = 1.52, 95% CI (1.04, 2.21)] and having history of abortion [AOR = 5.13, 95% CI (2.42, 10.85)] have higher odds of depression when compared to their counterparts. Conclusion: The prevalence of depression during pregnancy was high. Strengthening the counseling service as well as increasing access and availability of modern contraceptive methods may reduce the rates of unplanned pregnancy in Ethiopia and this, in turn, plays a significant role in alleviating a resultant depression. Further, the integration of mental health services with existing maternal health care as well as strengthening the referral system among public health centers was warranted to minimize antenatal depression in the West Shoa zone health facilities.