Background: The risk of depression during pregnancy and postpartum is high and has intensified during the COVID-19 pandemic. The aim of this study was to estimate the risk of depressive disorders and self-harm thoughts in the third trimester of pregnancy and the first week postpartum in the pandemic period. Methods: This study involved a total of 317 pregnant and postpartum women. The risk and severity of depressive disorders and the prevalence of self-harm thoughts in women during the perinatal period were assessed using EPDS. Results: Pregnant women were significantly more likely to have higher EPDS scores compared to postpartum women. Mild depressive symptoms were reported by 22.08% of pregnant women and 17.18% of postpartum women, and severe symptoms were observed in 25.97% of pregnant women and 16.56% of postpartum women. Thoughts of self-harm were reported by 11.69% of pregnant women and 17.79% of postpartum women. Self-harm thoughts were significantly more common among pregnant women: multiparous women, pregnant women who received psychiatric treatment before pregnancy, those diagnosed with depressive disorders, those who suffered from prolonged periods of anxiety and sadness, and those lacking a supportive person. Among postpartum women, there were statistically significant differences in the prevalence of self-harm thoughts for place of residence, education, type of occupation, number of pregnancies, course of pregnancy, and presence of a supportive person. Conclusions: The increased prevalence of depressive symptoms and self-harm thoughts related to the COVID-19 pandemic highlights the urgent need for screening among pregnant women and the implementation of clinical interventions.