Background: Antenatal depression is common and has significant consequences. The literature suggests that antibiotic exposure may be associated with depression. Many individuals are exposed to antibiotics during pregnancy. Further investigation of the association between antenatal antibiotic use and the development of depression during pregnancy is needed. Methods: A national prospective observational cohort study of pregnant individuals was undertaken using an online survey, completed during the third trimester. Antenatal depressive symptoms (ADSs) were defined as having an Edinburgh Postnatal Depression Scale score of ≥13 and/or receiving a clinical diagnosis of depression. Results: One in six individuals (16.5%, n = 977) experienced ADSs during their pregnancy, of whom 37.9% received a depression diagnosis. There was no relationship between antibiotic use and the development of ADSs. Four factors were identified as significant independent predictors of ADSs: personal history of depression, severe nausea and vomiting causing an inability to eat, emotional abuse from an intimate partner within the prior 12 months, and not having a university degree. Conclusions: Antenatal antibiotic use was not associated with the development of ADSs. Given the high incidence of undiagnosed depression, new strategies and models of care that prioritise individuals with risk factors may be required to optimise antenatal care.