Depression is a common mood disorder associated with childbirth and is hypothesized to be affected by low vitamin D. This systematic review identified two randomized controlled trials (RCT) of vitamin D supplementation for the treatment or prevention of depressive symptoms in the perinatal period, as well as 18 observational studies of vitamin D exposure and depression in the antenatal and postnatal periods. Both RCTs claimed an improvement in depressive symptoms in the vitamin D group, although the sample sizes were too small to draw firm conclusions. The case-control and cohort studies had mixed findings and were limited by study quality. There were inconsistent results within the few studies with a more robust methodology or within samples restricted to women likely to have depression. The current evidence is inconclusive due to the poor quality and heterogeneity of studies, likely contributing to the contradictory findings. Given there are already numerous RCTs of prenatal vitamin D supplementation, we recommend adding an appropriate measure of depression in the perinatal period to assist in resolving the uncertainty.