Background: In recent decades, the incidence of depression has gradually increased in the general population globally. Depression is also common during gestation and could result in detrimental gestational complications for both the mother and the fetus. The survey presented aimed to evaluate whether pregnant women's perinatal depression could be associated with socio-demographic, anthropometry and lifestyle factors, and perinatal and postnatal outcomes. Methods: This is a cross-sectional survey conducted on 5314 pregnant women. Socio-demographic and lifestyle factors were recorded by relevant questionnaires via face-to-face interviews. Anthropometric parameters were measured by qualified personnel. Perinatal depressive symptomatology status was evaluated by Beck's Depression Inventory (BDI-II) questionnaire. Results: Depressive symptoms throughout gestation were found in 35.1% of the enrolled women. Perinatal depression was significantly associated with lower educational and economic level, pre-pregnancy regular smoking and reduced levels of Mediterranean diet adherence levels, a higher prevalence of gestational diabetes and preterm birth, as well as a higher incidence of delivering by caesarean section and abnormal childbirth weight. Perinatal depression was also significantly associated with a higher prevalence of maternal postpartum depression and lower prevalence of exclusive breastfeeding practices, as well as with a higher incidence of childhood asthma. Conclusions: Pregnant women's perinatal depression appears to be associated with various socio-demographic, anthropometry, and lifestyle characteristics and with a higher frequency of several adverse pregnancy complications. The present findings emphasize the importance of pregnant women's perinatal mental health, highlighting the need to develop and apply public strategies and policies for psychological counseling and support of future mothers to minimize probable risk factors that may trigger perinatal depression. Novel well-organized, follow-up surveys of enhanced validity are highly recommended to establish more definitive conclusions.