Research indicates that poor sleep quality is linked to and may precede depressive symptomatology in pregnancy, complicating screening for either condition. Pregnancy onset may also contribute to the development of sleep-disordered breathing (SDB). For the first time, the link between SDB and depression was examined in pregnancy. A total of 189 pregnant women completed the Edinburgh Postnatal Depression Scale (EPDS), Pittsburgh Sleep Quality Index (PSQI) for sleep quality and the Berlin Questionnaire for SDB. Women were also asked what they felt was the cause of their symptoms. PSQI-assessed poor sleep quality and self-perceived depression were strongly associated with EPDS scores of probable depression (X (2) 13.39; p < 0.001). Berlin-assessed risk of SDB was also associated with probable depression (X (2) 9.20 p < 0.01), though this was attenuated following multivariate analysis. There was a significant relationship between total PSQI score and the tendency for participants to attribute 'sleep-related causes' to their low mood (X (2) 20.78; p < 0.001). This study confirms the link between PSQI-assessed poor sleep quality and depressive symptoms in pregnancy, suggesting the two questionnaires assess the same or overlapping conditions. Although there was a relationship between probable depression and high risk SDB, the effect was attenuated after accounting for other depression risk factors, including body mass index (BMI).