Background: The prevalence of depression increase with the outbreaks of epidemic disease. The prevalence of depression during the outbreak of Corona Virus Disease 2019 (COVID-19) in prenatal and postnatal women was examined in China. Methods: 2201 prenatal and postnatal women in mainland China were recruited in this cross-sectional study from February 28th to April 26th, 2020. The Patient Health Questionnaire (PHQ-9) was used to assess depression in prenatal and postnatal women. Results: The prevalence rate of depression was 35.4%. The risk factors for depression included drinking (p = 0.04; adjusted OR = 2.81, 95%CI: 1.26 similar to 6.24), nausea and vomiting during pregnancy (p < 0.001; adjusted OR = 3.54, 95%CI: 1.10 similar to 11.44), pregnancy's influence on mobility (p = 0.02; adjusted OR = 1.42, 95%CI: 1.11 similar to 1.83), anxiety (p < 0.001; adjusted OR = 1.66, 95%CI: 1.57 similar to 1.75), insomnia (p < 0.001; adjusted OR = 1.17, 95%CI: 1.14 similar to 1.21) and daily attention to fetal movement (p < 0.001; adjusted OR = 0.41, 95%CI: 0.31 similar to 0.56). Limitations: This study used a cross-sectional design, and cannot compare changes in the incidence of depression before and after the COVID-19 outbreak. Conclusions: During the COVID-19 outbreak, the prevalence rate of depression among Chinese prenatal and postnatal women was 35.4%. Moreover, anxiety, insomnia, drinking, nausea and vomiting during pregnancy, as well as the impaired movement and less daily monitoring of fetal movement were risk factors for depression.