Depression, and disabling levels of mixed depressive, anxious and somatic symptoms, termed common mental disorder, occurring in the perinatal period are an important health problem in low- and middle-income countries. In this cross-sectional study, pregnant women were recruited from a district hospital antenatal clinic in Malawi. Symptoms of depression and anxiety, and non-specific somatic symptoms commonly associated with distress, were measured using validated local versions of the Self Reporting Questionnaire (SRQ). In a sub-sample, Diagnostic Statistical Manual (DSM)-IV diagnoses of major and minor depressive disorders were made using the Structured Clinical Interview for DSM-IV. Maternal socio-demographic and health variables were measured, and associations with SRQ score and depression diagnosis were determined. Of 599 eligible women, 583 were included in the analysis. The adjusted weighted prevalence of current major depressive episode and current major or minor depressive episode were 10.7 % (95 % CI 6.9–14.5 %) and 21.1 % (95 % CI 15.5–26.6 %), respectively. On multivariate analysis, SRQ score was significantly associated with lower perceived social support, experience of intimate partner violence, having had a complication in a previous delivery, higher maternal mid-upper arm circumference and more years of schooling. Major depressive episode was associated with lower perceived social support and experience of intimate partner violence. This study demonstrates that antenatal depression/CMD is common in Malawi and is associated with factors that may be amenable to psychosocial interventions.