Depression is a common pregnancy complication yet is often under-detected and, subsequently, undertreated. Data collected through mobile health tools may be used to support the identification of depression symptoms in pregnancy. An observational cohort study of 2062 pregnancies collected self-reports of patient history, mood, pregnancy-specific symptoms, and written language using a prenatal support app. These app inputs were used to model depression risk in subsequent 30- and 60-day periods throughout pregnancy. A selective inference lasso modeling approach examined the individual and additive value of each type of patient-reported app input. Depression models ranged in predictive power (AUC value of 0.64-0.83), depending on the type of inputs. The most predictive model included personal history, daily mood, and acute pregnancy-related symptoms (e.g., severe vomiting, cramping). Across models, daily mood was the strongest indicator of depression symptoms in the following month. Models that retained natural language inputs typically improved predictive accuracy and offered insight into the lived context associated with experiencing depression. Our findings are not generalizable beyond a digitally literate patient population that is self-motivated to report data during pregnancy. Simple patient reported data, including sparse language, shared directly via digital tools may support earlier depression symptom identification and a more nuanced understanding of depression context.