Background: Few studies in Nigeria have investigated psychiatric morbidity in pregnancy. There is also a lingering controversy about the prevalence and distribution of psychiatric morbidity across trimesters of pregnancy. However, available evidence worldwide suggests that depressive disorder is associated with poor maternal health and fetal complications. Objectives: The aim of this study was to compare the prevalence and correlates of major depressive disorder (MDD) at different trimesters of pregnancy and to determine the socio-demographic and obstetric/gynecological characteristics associated with MDD among pregnant women at different trimesters of pregnancy. Materials and Methods: Two hundred and twenty-five pregnant women consisting of 75 from each trimester of pregnancy were selected using a stratified systematic random sampling technique at an antenatal clinic. They were interviewed with depression module of the structured clinical interview schedule for axis 1 diagnostic and statistical manual of mental-IV disorder. The severity of identified MDD was rated using the structured interview for the Montegomery–Asberg depression rating scale. Socio-demographic and obstetrics/gynecological details were also obtained with a questionnaire. Results: The prevalence of major depression followed decreasing pattern of distribution across the trimesters. The prevalence rates were 8%, 5.3% and 0% for first, second and third trimester, respectively. In the first trimester, major depression was associated with single marital status (P = 0.003) and being a student (P = 0.02), while the second trimester was associated with preterm delivery (P = 0.02). Conclusion: MDD is common among pregnant women and particularly most common in the first trimester as it follows a decreasing pattern of distribution across trimesters of pregnancy. Awareness of the associated factors will assist antenatal care providers in the early detection and prompt referral of such patients thereby avoiding the associated poor obstetric outcomes and fetal complications.