The aim of the present study was to investigate the role of several psychosocial risk factors in predicting depressive symptomatology during pregnancy in mothers and fathers, respectively. A total of 146 primiparous mothers and 105 primiparous fathers reporting a psychosocial risk condition were recruited independently from maternity and child health services, during the second trimester of pregnancy. All parents were evaluated for depressive symptomatology, anxiety, and perceived social support. Two hierarchical multiple regression analyses were performed to determine the role of psychosocial factors in predicting depressive symptomatology during pregnancy, in mothers and fathers. Marital dissatisfaction, personal history of depression, and personal trait anxiety were identified as significant predictors of depressive symptomatology during pregnancy, both in mothers and in fathers. Family history of substance abuse, conflictual relationship with the parents in the past year, and bereavement in the past year were identified as significant factors contributing to elevated depressive symptoms during pregnancy in mothers, but not fathers. In this study, several psychosocial risk factors were consistently related to an increase in maternal and paternal depressive symptoms during pregnancy; some of these factors seem to be specifically related to maternal depressive mood.