The current study aimed at assessing the levels of perinatal depression (i.e., both antenatal and postnatal) during the fourth wave of the COVID-19 outbreak in a group of Italian women, as well as to evaluate the role of loneliness, anxiety, and lack of maternal support in cumulatively predicting perinatal depression. A cross-sectional study was conducted with 200 Italian women recruited during a peak of the COVID-19 pandemic in Italy (i.e., from September to December 2021) from a single prenatal clinic in Southern Italy. A non-parametric binomial test was conducted to assess whether the perinatal depression frequencies of the current sample differed from those found in a pre-Covid reference group. Additionally, hierarchical multiple linear regression analyses assessing whether loneliness, anxiety, and maternal support affected women's perinatal depression were also conducted. The general prevalence of perinatal depression was significantly higher in participants recruited during the fourth wave of the COVID-19 pandemic compared to the pre-Covid reference group (29% vs. 9.2%). However, results showed that, contrary to postnatal depression (18.2% vs. 19.9%), only the prevalence of antenatal depression was significantly higher compared to the pre-Covid reference group (39.6% vs. 6.4%). Furthermore, loneliness and anxiety, but not maternal support, were associated with higher levels of PD. Limitations concerned the cross-sectional nature of the study and the relatively small sample size. This study sheds light on the need to address perinatal mental health of women during major stressful events, such as the COVID-19 pandemic.