Purpose: The purpose of the study was to investigate the psycho-social factors such as self-esteem, stress, and family support that affect the depression in pregnant women. Methods: The participants were 149 pregnant women who were seen at the urban G and M woman hospital. Data were collected using structured questionnaires from January 10 to May 20, 2011, and were analyzed using descriptive statistics, t-test, ANOVA, Pearson Correlation Coefficients, and Stepwise Multiple Regression with SPSS/WIN 17.0 program. Results: Mean age was 31 years, and 28.9% of the participants reported depression. Depression in the pregnant women showed a negative correlation with self-esteem (r=-.47, p<.001) and family support (r=-.38, p<.001), but a positive correlation with stress (r=.42, p<.001). In addition, variables that predicted depression in pregnant women were general health condition, stress, self-esteem, communication with husband, and planned pregnancy (39.0%). Conclusion: The findings from this study indicate the need to screen pregnant women for depression. There is also a need for programs to prevent depression in pregnant women and assess risk considering psycho-social factors.