A large body of evidence indicates that major affective disorders are accompanied by activated neuro-immune, neuro-oxidative and neuro-nitrosative stress (IO & NS) pathways. Postpartum depression is predicted by end of term prenatal depressive symptoms whilst a lifetime history of mood disorders appears to increase the risk for both prenatal and postpartum depression. This review provides a critical appraisal of available evidence linking IO & NS pathways to prenatal and postpartum depression. The electronic databases Google Scholar, PubMed and Scopus were sources for this narrative review focusing on keywords, including perinatal depression, (auto)immune, inflammation, oxidative, nitric oxide, nitrosative, tryptophan catabolites (TRYCATs), kynurenine, leaky gut and microbiome. Prenatal depressive symptoms are associated with exaggerated pregnancy-specific changes in IO & NS pathways, including increased C-reactive protein, advanced oxidation protein products and nitric oxide metabolites, lowered antioxidant levels, such as zinc, as well as lowered regulatory IgM-mediated autoimmune responses. The latter pathways coupled with lowered levels of endogenous anti-inflammatory compounds, including ω3 polyunsaturated fatty acids, may also underpin the pathophysiology of postpartum depression. Although increased bacterial translocation, lipid peroxidation and TRYCAT pathway activation play a role in mood disorders, similar changes do not appear to be relevant in perinatal depression. Some IO & NS biomarker characteristics of mood disorders are found in prenatal depression indicating that these pathways partly contribute to the association of a lifetime history of mood disorders and perinatal depression. However, available evidence suggests that some IO & NS pathways differ significantly between perinatal depression and mood disorders in general. This review provides a new IO & NS model of prenatal and postpartum depression.