Depression is an illness that affects the way people think, act and feel. About 6% of women will experience depression at some time during their lives. This number increases to about 10% (1 in 10) for women who are pregnant.Women are more at risk of depression while they are pregnant and during the weeks and months after having a baby. During pregnancy, hormone changes can affect brain chemicals and cause depression and anxiety. Sometimes pregnant women don't realize they are depressed. They may think they have symptoms of pregnancy or the "baby blues," which many women experience right after birth.