Depression is a common psychiatric disorder in women of childbearing age. Studies on depression among this group of women were conducted mainly during post-partum period while only a relatively few number of them addressed this subject during pregnancy. Information on ante-natal depression is vital in providing a basis for implementation of intervention programmes aimed at reducing burden of depression during pregnancy. Hence the objective of this study is to assess the prevalence and correlates of depression among a group of pregnant Nigerian women. In a cross sectional study, three hundred women were recruited from the antenatal clinic of Lagos University Teaching Hospital in Lagos. The instruments used were a socio-demographic and obstetric questionnaire, the Hospital Anxiety and Depression Scale (HADS) and the Mini International Neuro-psychiatric Interview (MINI). A point prevalence rate of 11.3% was found for ante-natal depression. Of the subjects, 3.7% had minor depressive disorder while 7.7% had major depressive disorder. Among the depressed subjects, 81.8% met the criteria for definite anxiety cases. On bivariate analysis, factors that were significantly associated with depression in pregnancy were: marital status, type of family, not living with husband, limited social support, and poor relationship with husband and in-laws. Also, the gender of child, reason for gender preference, previous abortion, significant event or difficulty in pregnancy, past episode of depression and co-morbid anxiety symptoms were significantly associated with depression. Following logistic regression, factors that were significantly and ii independently associated with depression in pregnancy were: limited social support (OR=6.99, 95%CI=3.25-15.06), reason for gender preference (OR=11.25, 95%CI=2.18-58.11), previous abortion (OR=2.25, 95%CI=1.09-4.66), significant event or difficulty in pregnancy (OR=3.63, 95%CI=1.54-8.57), Past episode of depression(OR=2.94, 95%CI=1.27-6.83) and co-morbid anxiety symptoms (OR=24.49, 95%CI=10.46-57.83). In conclusion, the results of this study are similar to findings from other parts of the world indicating that depression is common during pregnancy. Apart from social and obstetric correlates, psychiatric factors also form significant predictor of ante-natal depression. These factors should be considered in the design, implementation and evaluation of intervention programmes aimed at reducing the burden of ante-natal depression.