This study was conducted to investigate the depression of pregnant women during their third trimester, and its relationship with pregnancy stress, life-event stress and social support, and to explore the significant predictors. A total of 150 pregnant women who were in the third trimester were recruited to participate in this study from obstetric clinics of one regional and one local hospital in southern Taiwan. Data were collected via questionnaires, which comprised the following five parts: the Basic Characteristics Inventory, the Edinburgh Perinatal Depression Scale (EPDS), the Pregnancy Stress Rating Scale, the Adult Life-Event Stress Scale, and Maternity Social Support Scale. The results found that (1) using the EPDS cutoff score of 14 and above as a score indicative of depression, 20% of subjects were classified as depressed during the third trimester; (2) The best subsets for predicting the depression of pregnant women were the pregnancy stress, social support and occupational status. The results of the study suggest that (1) pregnancy stress, social support and occupational status should be assessed during the antenatal period; (2) Importance should be attached to the prevalence of antenatal depression and information about antenatal depression included in classes on childbirth education. Antenatal women should be informed, for example, that, if the depression persists for longer than 7 days, or interferes with their ability to cope with the activities of daily living, psychiatric consultation may be needed.