Antenatal depression is characterized by low mood, insomnia, disorganised behaviour, irritability, and agitation during the pregnancy. If underestimated, antenatal depression is untreated during the pregnancy. It is associated to higher levels of suicide, higher risk of depression after childbirth, preeclampsia, preterm birth, low birth weight, poor interactions between child and mother and severe obstetric outcomes. New data underlined the importance to prevent the risk of depression during the pregnancy. This study examines the predictive validity of potential risk factors, such as socio-demographic and psychological factors, in developing the antenatal depression. The sample was composed by Italian pregnant women (N = 247, mean age of 33.77, SD = 4.78 years). This sample completed the Edinburg Postnatal Depression Scale (EPDS), the Teate Depression Inventory (TDI) and questionnaires about demographic variables. To study associations among variables examined bivariate correlations were computed. To analyse the role of socio-demographic factors and the psychological dimension to predict the severity of the antenatal depression a logistic regression was performed. Results showed significantly positive correlations between the EPDS and the TDI, and no associations among the EPDS and all socio-demographic factors. Therefore, only the psychological factors were significant predictive risk factors of antenatal period. Finally, higher score of the depression measured via TDI predicted higher score of the EPDS. Our results had implications in clinical field. Indeed, the early diagnosis of depression during the pregnancy can help operators in the gynaecological field to prevent the depression in the post-partum period.