Depression in the perinatal period is common in mothers worldwide. Emerging research indicates that fathers are also at risk of developing perinatal depression. However, knowledge regarding biological risk factors and pathophysiological mechanisms of perinatal depression is still scarce, particularly in fathers. It has been suggested that the neurotrophin BDNF may play a role in maternal perinatal depression; however, there is currently no data regarding paternal perinatal depression. For this pilot study, 81 expecting parents were recruited and assessed at several time points. We screened for depression using EPDS and MADRS, investigated several psychosocial variables, and took blood samples for BDNF val66met genotyping, epigenetic, and protein analysis. Between pregnancy and 12 months postpartum (pp), we found that 3.7 to 15.7% of fathers screened positive for depression, and 9.6 to 24% of mothers, with at least a twofold increased prevalence in both parents using MADRS compared with EPDS. We also identified several psychosocial factors associated with perinatal depression in both parents. The data revealed a trend that lower BDNF levels correlated with maternal depressive symptoms at 3 months pp. In the fathers, no significant correlations between BDNF and perinatal depression were found. Pregnant women demonstrated lower BDNF methylation and BDNF protein expression compared with men; however, these were found to increase postpartum. Lastly, we identified correlations between depressive symptoms and psychosocial/neurobiological factors. The data suggest that BDNF may play a role in maternal perinatal depression, but not paternal.