Plasma concentrations of vitamin D metabolites can be inversely associated with depressive symptoms. However, few longitudinal studies have investigated this association, especially during pregnancy. The aim of this study was to investigate the association between concentrations of 25-hydroxyvitamin D 25(OH)D and 1,25-dihydroxivitamin D 1,25(OH)2D with the occurrence of depressive symptoms throughout pregnancy. A prospective cohort of 179 women was followed at 5th-13th, 20th-26th and 30th-36th gestational weeks. At each trimester of pregnancy, the plasma concentrations of 25(OH)D and 1,25(OH)2D were analyzed by liquid chromatography tandem mass spectroscopy. Vitamin D status was categorized according to the Endocrine Society Practice Guidelines and the Institute of Medicine. Depressive symptoms were measured at each trimester using the Edinburgh Postnatal Depressive Scale (cutoff ≥13). Statistical analyses included random intercept logistic regression models for longitudinal analyses. In the first trimester, the prevalence of 25(OH)D <75, <50 and <30 nmol/L were 69.3%, 14.0% and 1.7%, respectively. Prevalence of depressive symptoms were 20.1%, 14.7% and 7.8% for the first, second and third trimesters, respectively. The probability of occurrence of depressive symptoms decreased throughout pregnancy (p-value = 0.005). Women with higher concentrations of 25(OH)D in the first trimester presented a lower odds ratio (OR) for the development of depressive symptoms during pregnancy (OR = 0.98; 95%CI: 0.96 to 0.99, p-value = 0.047) in the adjusted model. In conclusion, there was a higher prevalence of vitamin D inadequacy and depressive symptoms during the first trimester. Higher 25(OH)D concentrations in the first trimester were associated with a decrease of 2% in the odds for presenting depressive symptoms throughout pregnancy.