Depression during pregnancy has been associated with a number of adverse outcomes, but the underlying physiological mechanisms involved remain unclear. The purpose of this study was to examine the effects of maternal depression during pregnancy on the autonomic modulation of heart rate, in a naturalistic setting. Eighty-one pregnant women were studied between 25 and 31 weeks of gestation and were identified as either Depressed (n = 46), or healthy, Control (n = 35), based on depression scores and lifetime psychiatric history. Subjects wore a 24-h Holter recorder to measure time-domain and frequency-domain of heart rate variability (HRV). Pregnant women in the Depressed Group had significantly reduced time-domain measures: standard deviation of all 24-h NN intervals (SDNN) and the standard deviation of the averages of NN intervals in all 5-min segments of the entire recording (SDANN) (P = 0.013, 0.016, respectively), as well as higher heart rates while asleep (P = 0.028), compared to Controls, after controlling for age, smoking, and antidepressant (AD) medication. The low frequency/high frequency (LF/HF) ratio during the sleeping hours was associated with higher depression scores (R = 0.24; P = 0.041). HRV measures improved in women taking AD medication. The autonomic nervous system may be affected in women experiencing depression during pregnancy, indicating a possible decreased parasympathetic (vagal) influence. Women taking AD medication showed some improvement in HRV measures. These data suggest that psychophysiological changes occur in women experiencing depression during pregnancy.