•Perinatal depression (PND) is a highly prevalent complication of pregnancy.•It is difficult to predict which women will experience depression during the peripartum.•Machine learning techniques may help identifying predictors of PND during early pregnancy.•We developed a data-driven ML model to quantify the risk of developing PND symptoms.•Besides psychosocial factors, sleep alterations were found to be a strong predictor of PND. Perinatal depression (PND) is a common complication of pregnancy associated with serious health consequences for both mothers and their babies. Identifying risk factors for PND is key to early detect women at increased risk of developing this condition. We applied a machine learning (ML) approach to data from a multicenter cohort study on sleep and mood changes during the perinatal period (“Life-ON”) to derive models for PND risk prediction in a cross-validation setting. A wide range of sociodemographic variables, blood-based biomarkers, sleep, medical, and psychological data collected from 439 pregnant women, as well as polysomnographic parameters recorded from 353 women, were considered for model building. These covariates were correlated with the risk of future depression, as assessed by regularly administering the Edinburgh Postnatal Depression Scale across the perinatal period. The ML model indicated the mood status of pregnant women in the first trimester, previous depressive episodes and marital status, as the most important predictors of PND. Sleep quality, insomnia symptoms, age, previous miscarriages, and stressful life events also added to the model performance. Besides other predictors, sleep changes during early pregnancy should therefore assessed to identify women at higher risk of PND and support them with appropriate therapeutic strategies.