Purpose: The aims of this paper are to examine: (1) the relationship between high pre-pregnancy BMI and antenatal depression; (2) whether BMI and antenatal depression interact to predict diet and gestational weight gain (GWG). Methods: Data came from the Avon Longitudinal Study of Parents and Children (ALSPAC). Underweight women were excluded. Pre-pregnancy BMI was self-reported and antenatal depression was assessed using the Edinburgh Postnatal Depression Scale at 18 and 32 weeks’ gestation to identify persistently elevated depressive symptoms (EPDS>12). Dietary patterns were calculated from food frequency questionnaires at 32 weeks’ gestation. GWG was categorised using the USA Institute of Medicine guidelines. Results: This study included 13,314 pregnant women. Obese women had significantly higher odds of antenatal depression than normal weight controls after adjusting for sociodemographics and health behaviours (aOR 1.39, 95%CI 1.05–1.84). Every unit increase in pre-pregnancy BMI was associated with approximately 3% higher odds of antenatal depression (aOR 1.03, 95%CI 1.01-1.05). Antenatal depression was not meaningfully associated with dietary patterns after adjusting for confounders and was not associated with inadequate or excessive GWG. There was no evidence for an interaction of depression and BMI on either diet or GWG. Conclusions Healthcare professionals should be aware of the dose-response relationship between high pre-pregnancy BMI and antenatal depression.