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Prior investigations have examined risk factors associated to postpartum depression in immigrant women, but depression during pregnancy has received less attention. This study describes the prevalence and early determinants of antenatal depression among recent (= 5 years) and long-term immigrants (> 5 years), compared to Canadian-born women. 503 women completed standardized self-report questionnaires measuring sociodemographics and psychosocial factors. Multivariate logistic regressions identified first trimester risk factors for depression in each immigrant group. The prevalence of depressive symptoms was highest for recent immigrant (25.3-30.8%) compared to long-term immigrant (16.9-19.2%) and Canadian-born women (11.7-13.8%). Among recent immigrants, multiparity, higher stress and pregnancy-specific anxiety in early pregnancy increased the risk of antenatal depression. Among long-term immigrants, stress in the first trimester was significantly associated with antenatal depressive symptoms. Knowledge of modifiable risk factors (pregnancy-specific anxiety and stress) may help improve antenatal screening and inform the development of tailored interventions to meet the mental health needs of immigrant women during the perinatal period.