In postpartum depression (PPD), immunologic changes have been proposed to be involved in the disease pathology. The study evaluates the regulation of the innate and adaptive immune response over the course of late pregnancy and postpartum period and their association with the development of postpartum depressive symptoms. Furthermore, prenatal immunologic markers for a PPD were investigated. Hundred pregnant women were included. At 34th and 38th week of pregnancy as well as 2 days, 7 weeks and 6 months postpartum, immune parameters (neopterin, regulatory T cells, CXCR1, CCR2, MNP1 and CD11a) were measured by flow cytometry/ELISA, and the psychopathology was evaluated. We found that regulatory T cells were significantly increased prenatal (p = 0.011) and postnatal (p = 0.01) in mothers with postnatal depressive symptoms. The decrease in CXCR 1 after delivery was significantly higher in mother with postnatal depressive symptoms (p = 0.032). Mothers with postnatal depressive symptoms showed already prenatal significantly elevated neopterin levels (p = 0.049). Finally, regulatory T cells in pregnancy strongly predict postnatal depressive symptoms (p = 0.004). The present study revealed that prenatal and postnatal immunologic parameters are associated with postpartum depressive symptoms in mothers. In addition, we found immune markers that could eventually be the base for a biomarker set that predicts postnatal depressive symptoms already during pregnancy.