Depression during pregnancy is a significant public health problem because of its negative effects on the health of both mother and infant. Data on its prevalence and determinants are lacking in Bangladesh. To estimate the prevalence of depression during pregnancy and to identify potential contributory factors among rural Bangladeshi women, a community-based study was conducted during 2005 in Matlab sub-district, a rural area of eastern Bangladesh. Three hundred and sixty-one pregnant women were identified through an existing health and demographic surveillance system covering a population of 110,000 people. The women were interviewed at home at 34–35 weeks of pregnancy. Information on risk factors was collected through structured questionnaires, with the Bangla version of the Edinburgh Postnatal Depression Scale (EPDS-B) used to measure their psychological status. Both univariate analysis and multivariate logistic regression were applied using the SPSS 15.0 statistical software. The prevalence of depression at 34–35 weeks pregnancy was 33% (95% CI, 27.6–37.5). After adjustment in a multivariate logistic regression model, a history of being beaten by her husband either during or before the current pregnancy had the highest association with depression followed by having an unhelpful or unsupportive mother-in-law or husband, and family preference for a male child. Of the antenatally depressed women, 17 (14%) admitted to thoughts of self-harm during the pregnancy. This paper further explores the reasons why women have considered some form of self-harm during pregnancy. Depression during pregnancy is common among Bangladeshi women, with about a third being affected. The study highlights the need to allocate resources and develop strategies to address depression in pregnancy.