The purpose of the present study was to investigate the factor structure of the Beck Depression Inventory-II (BDI-II) in pregnancy and postpartum. Women were asked to fill in the BDI-II in their last trimester of pregnancy and at 3 months after delivery. A total of 331 pregnant women, with a mean age of 29.7 years (SD = 4.6), and 354 mothers, aged 30.6 years (SD = 4.6 years), answered the BDI-II. The first group was mainly nulliparas (65.6%) and the second group was mostly primiparas (57.4%). Factor analyses with principal components solution and varimax rotation were performed. Based on the scree test of Cattell a 2-factor solution and a 3-factor solution were explored. The 2-factor solution was identical in pregnancy and postpartum. Items loading in the Cognitive–Affective factor and in the Somatic–Anxiety factor were almost the same, though the Cognitive–Affective factor explained more of the BDI-II total variance in pregnancy, whereas in postpartum both factors explained similar total variances. The 3-factor solution of the BDI-II in pregnancy and postpartum slightly diverged. Besides the Cognitive–Affective and the Somatic–Anxiety factors, a third factor, Fatigue, was obtained in pregnancy while Guilt was the third factor identified in postpartum. This study reveals that the BDI-II 3-factor solution might be more appropriate to assess depressive symptoms in pregnancy and postpartum.