Objective According to recent studies, the COVID-19 pandemic has been associated with an increased risk of mental health problems across many subpopulations including pregnant and postnatal women. This study examined the prevalence and correlates of depressive symptoms (depression hereafter) in Chinese pregnant and postpartum women during the COVID-19 pandemic. Methods This was a multicenter, cross-sectional study comprising 1309 pregnant and postpartum women across 12 provinces in China during the COVID-19 pandemic. Depression was assessed using the nine-item Patient Health Questionnaire. Univariate analyses and multivariate logistic regression analyses were conducted. Results The prevalence of depression in pregnant and postpartum women was 27.43% (95% confidence interval [CI] = 25.01%-29.85%). Women who were worried about themselves or their babies being infected with COVID-19 (odds ratio [OR] = 2.562, 95% CI = 1.670-3.929), and those who had delayed regular medical checkups (OR = 2.434, 95% CI = 1.580-3.750) were at higher risk of depression. Compared with those living in central and western parts of China, women living in northern (OR = 0.513, 95% CI = 0.326-0.807) and southeastern parts of China (OR = 0.626, 95% CI = 0.463-0.846) were less likely to have depression. Conclusions The COVID-19 pandemic was associated with an increased likelihood of mental health problems among pregnant and postnatal women. Over a quarter of the pregnant and postpartum women in China had depression during the COVID-19 pandemic. Considering the negative health impact of depression, preventive measures, regular mental health screening, and medical checkups are needed with the goal to reduce the risk of depression in this vulnerable population during a pandemic.