For the first time, the relationship between depressive symptoms and sleep quality was explored prospectively during pregnancy. Participants (n =273) completed the Pittsburgh Sleep Quality Index and Beck Depression Inventory at three 8-week intervals, starting from 15–23 weeks gestation. In addition to sleep quality and depression remaining relatively stable during pregnancy, findings revealed that sleep quality earlier in pregnancy predicted higher levels of depressive symptoms at later stage in pregnancy (after controlling for prior depression levels). In contrast, there was no evidence to suggest that depressive symptoms earlier in pregnancy impacted on sleep quality later on. Given that depressive symptomatology can lead to major depression and given the prevalence of pre- and postnatal depression, our findings suggest that screening for sleep problems during pregnancy may be of clinical significance.