BACKGROUND: The aim of this study was to explore the prospective relationship between depressive symptoms and anxiety across pregnancy and the early postpartum. METHODS: Participants (N=207) completed the State-Trait Anxiety Inventory Trait subscale, Beck Depression Inventory, and social support and sleep quality measures at two time points during pregnancy and once in the early postpartum period. RESULTS: After accounting for the relative stability of anxiety and depression over time, depressive symptoms earlier in pregnancy predicted higher levels of anxiety in late pregnancy and anxiety in late pregnancy predicted higher depressive symptomatology in the early postpartum. A bi-directional model of depression and anxiety in pregnancy was supported. LIMITATIONS: Data were based on self-reports and participating women were predominantly tertiary educated with high family incomes. CONCLUSION: Our findings suggest that depressive symptoms precede the development of higher levels of anxiety and that anxiety, even at non-clinical levels, can predict higher depressive symptoms. Clinicians are advised to screen for anxiety and depression concurrently during pregnancy.