The aim of the present study was to examine the association between depressive symptoms in pregnancy and the concentration of long-chain polyunsaturated fatty acids (LCPUFAs) in breast milk. Women (n = 287) enrolled in the Pregnancy, Infection, and Nutrition Study completed the Center for Epidemiologic Studies Depression Scale in pregnancy (< 20 and 24-29 weeks) and had LCPUFAs measured in breast milk (4 months postpartum). Multiple linear regression was used to examine associations between depressive symptoms and breast milk LCPUFAs. Increasing depressive symptoms at < 20 weeks were associated with lower docosahexaenoic acid concentrations (adjusted β = -1.15, 95% confidence interval = -2.12, -0.19). No similar associations were observed with other fatty acids nor between symptoms at 24-29 weeks and LCPUFAs. Depressive symptoms, even in the subclinical range, early in pregnancy are inversely associated with breast milk docosahexaenoic acid. This may have implications for the timing of screening and interventions for perinatal depression and the nutritional value of breast milk.