During the postpartum period, women are at risk for the new onset of both auto-immune thyroid disorders and depression. The presence of thyroid peroxidase antibodies (TPO-ab) during early gestation is predictive for postpartum auto-immune thyroid dysfunction. The aim of this study was to investigate the association between TPO-ab status during early gestation and first-onset postpartum depression. Prospective cohort study (n = 1075) with follow-up during pregnancy up to one year postpartum. Thyroid function and TPO-ab status were measured during early gestation. Depressive symptomatology was assessed during each trimester and at four time points postpartum with the Edinburgh Depression Scale (EDS). Women with antenatal depression were not eligible for inclusion. Self-reported postpartum depression was defined with an EDS cut-off of ≥ 13. The cumulative incidence of self-reported first-onset depression in the first postpartum year was 6.3%. A positive TPO-ab status was associated with an increased risk for self-reported first-onset depression at four months postpartum (adjusted OR 3.8; 95% CI 1.3-11.6), but not at other postpartum time points. Prevalence rates of self-reported postpartum depression declined after four months postpartum in the TPO-ab positive group, but remained constant in the TPO-ab negative group. Depression was defined with a self-rating questionnaire (EDS). Women with an increased TPO-ab titer during early gestation are at increased risk for self-reported first-onset depression. The longitudinal pattern of self-reported postpartum depression in the TPO-ab positive group was similar to the typical course of postpartum TPO-ab titers changes. This suggests overlap in the etiology of first-onset postpartum depression and auto-immune thyroid dysfunction. Thyroid function should be evaluated in women with first-onset postpartum depression.