Background: Antenatal depressive symptoms adversely affect the health and well-being of women, babies, and their families. This study aimed to explore the prevalence and probable associated factors of depressivse symptoms. Methods: A prospective cohort approach was adopted, and 435 pregnant women were assessed longitudinally at an antenatal clinic in the first, second, and third trimesters. Edinburgh Postnatal Depression Scale (EPDS) was used to measure self-reported depressive symptoms. The multivariate approach of the general linear model was used to evaluate the mean differences of depression scores among the trimesters. To investigate the associated factors of depressive symptoms, generalized estimating equation (GEE) was used to take into account the clustering effect. Results: More than half (58.13%) of the pregnant women had antenatal depressive symptoms in at least one trimester. Depressive symptoms decreased throughout the pregnancy; they were higher in the first trimester and declined toward the third trimester. Significant mean differences were found in depression scores among the three trimesters. GEE showed that trimester, education, family income, and body mass index (BMI) are significantly associated with antenatal depressive symptoms. Conclusions: First trimester is the most critical period for identification of depressive symptoms. At-risk women need to be treated. Proper education achievement, economic solvency, and adequate nutrition could reduce the depressive symptoms.