Few studies have examined whether rural residence is associated with increased or decreased risk for postpartum depression (PPD). To address this research gap, this pilot study examined rates of depressive symptoms and perceived social support among women living in rural (population <10,000), semi-rural (population 10,000–20,000), and urban (downtown Toronto, population approximately 2.5 million) areas. Women were consecutively recruited at 25–35 weeks gestation from midwifery clinics and hospital-based prenatal care practices in two catchment areas and asked to complete a demographic questionnaire including postal code. On the basis of their responses, rural, semi-rural, and urban mothers were contacted by telephone at 36 weeks gestation (baseline) and 6–8 weeks postpartum (primary outcome). During each assessment, participants completed standardized measures of social connectedness, mental health, and health service utilization, including the Edinburgh Postnatal Depression Scale (EPDS) and the Medical Outcome Study Social Support Scale. A total of 87 participants [N = 23 rural (R), N = 23 semi-rural (SR), N = 41 urban (U)] were recruited into the study. There were no statistically significant differences between groups in mean EPDS scores during pregnancy (U = 7.1, SR = 5.3, R = 5.3, p = 0.15) or at 6 weeks postpartum (U = 5.3, SR = 4.4, R = 4.2, p = 0.43). The proportion of women with EPDS scores >12 similarly did not differ between groups. There were few statistically significant differences between groups on indicators of social connectedness; however, urban women reported significantly lower scores on measures of social network diversity and social capital than either the semi-rural or rural groups. This pilot study is limited by its small sample size; however, our data do not support the hypothesis that there are clinically important differences in risk for PPD associated with rural residence. Further studies examining potential relationships between indicators of social connectedness and perinatal mental health may be warranted.