Background and Purpose: Sleep quality seems to be an antecedent to depressive symptoms during pregnancy. We sought to 1) examine the psychometrics of the Pittsburgh Sleep Quality Index (PSQI) in pregnancy; 2) examine whether sleep quality predicted increases in depressive symptoms; and 3) compare PSQI scores across 3 or 2 levels of depressive symptoms. Methods: Each of the 252 participants completed the Beck Depression Inventory (short form) and a sleep quality measure at mid and late pregnancy. Results: PSQI total scores showed good internal consistency and construct validity. An improved model of the internal structure of the PSQI in pregnancy was found with 1 factor labeled Sleep Efficiency, a second labeled Night and Daytime Disturbances, and an Overall Sleep Quality component associated with, but separate from, both of these 2 factors. Although PSQI scores showed moderate stability over time, sleep disturbance scores increased in late pregnancy. Importantly, PSQI prospectively predicted increases in depressive symptoms. Conclusions: Findings suggest that the PSQI is useful in pregnancy research. Findings also support the idea that sleep problems are prospective risk factors for increases in depressive symptoms during pregnancy. Practitioners are advised to screen for sleep quality during early pregnancy.