It is unclear whether there is a fetal origin of adult depression. In particular, previous studies have been unable to adjust for the potential effect of maternal depression during pregnancy on any association. The association of birth weight with adult symptoms of depression was examined in an Australian prospective birth cohort, the Mater University Study of Pregnancy and its outcomes. Depressive symptoms were assessed with the Center for Epidemiologic Studies Depression Scale among 3,719 participants at the 21-year follow-up in 2002–2005. In multivariable analyses, there were a weak inverse association between birth weight and symptoms of depression in the whole cohort and some evidence of sex differences in this association. Among females, there was a graded inverse association: In the fully adjusted model, the odds ratio for a high level of depressive symptoms for a 1-standard deviation increase in birth weight (gestational age-standardized z score) was 0.82 (95% confidence interval: 0.73, 0.92). Among males, there was no association (with sex in all models: pinteraction < 0.004). Study results provide some support for a fetal origin of adult depression and suggest that the association is not explained by maternal mental health characteristics during pregnancy. Further research is needed to better understand the mechanisms underlying the association.