Abstract Background Recent studies suggest that the incidence of small for gestational age (SGA) birth related to maternal depression, but the mechanism is unclear. The aim of this study was to explore the changes of promoter methylation in the placenta which may be involved in the relationship between prenatal depression and SGA. Methods Three hundred forty-five pregnant women were enrolled in this prospective cohort study. Perinatal emotion and sleep quality in the second and third trimesters were assessed using self-rating depression scale, self-rating anxiety scale, and Pittsburgh sleep quality index. According to the exposure (depressed emotion of mother) and outcome (SGA), the placentas were divided into four groups. Methylation of the promoter regions of the placental CRH, HSD11β2, SLA16A10, DIO3, and MTNR1B genes was determined using next generation sequencing based on bisulfite sequencing PCR. Results There were 97 (28.1%) and 95 (27.5%) pregnant women who had depression in the second trimester and third trimester, respectively. Thirty-five pregnant women had an SGA birth. The incidence of SGA births in this prospective cohort was 10.1%. The risk factors of SGA birth were low BMI of pregnancy women (RR = 0.71, 95%CI = 0.54 ~ 0.92), hypertensive disorder complicating pregnancy (HDCP, RR = 4.7, 95%CI = 1.18 ~ 18.72), and maternal depression in the second trimester (RR = 3.71, 95%CI = 1.31 ~ 12.16). We found that the CRH and HSD11β2 methylation levels were higher in the depression group than those in the non-depression group. Methylation levels of DIO3 were higher in SGA group than that in the non-SGA group. Higher methylation levels of CRH correlated with higher methylation levels of DIO3 in the placenta. Conclusions Maternal depression in the second trimester may lead to the changes of methylation levels in the promoter region of CRH and HSD11β2 gene, while the changes of methylation of DIO3 in subsequent could related to SGA. This study suggests that maternal depressed emotion during pregnancy may result in SGA due to the epigenetic changes of placenta.