Objective. Depressive symptoms during pregnancy increase the risk for adverse outcomes in women and children. Lower vitamin D levels are suggested to be associated with higher depressive symptoms in nonpregnant populations. We studied if the level of or change in serum of 25-hydroxyvitamin D (25(OH)D) concentration was associated with the levels of depressive symptoms during pregnancy. Methods. The participants of this prospective longitudinal study came from the Prediction and Prevention of Preeclampsia and Intrauterine Growth Restriction (PREDO) study. The analytic sample comprised 307 women (mean age = 32.5 (range 20.3–44.3)) who reported depressive symptoms concurrently with serum 25(OH)D measurements at a median of 13.0, 19.3, and 27.0 gestational weeks. Depressive symptoms were assessed using the Center for Epidemiologic Studies Depression Scale. Linear and mixed-model regression analyses were used to study the associations. Results. The 25(OH)D levels were not associated with depressive symptoms cross-sectionally (p values > 0.58) or across the three assessment points during pregnancy (B = −0.05; 95% CI, −0.12, 0.01; and p = 0.12). Yet, a higher increase in 25(OH)D during pregnancy was associated with lower levels of depressive symptoms (B = −1.41; 95% CI, −2.75, −0.07; and p = 0.04) but not after adjusting for covariates (p = 0.08). Conclusions. The 25(OH)D levels and depressive symptoms were not associated among pregnant women throughout the pregnancy. However, there is a need for randomized controlled trials to fully exclude the possibility of vitamin D supplementation in the prevention of depression during pregnancy.