Introduction Women experience high rates of depression, particularly during pregnancy and the postpartum periods. Using population-based data from Bangladesh and Pakistan, we estimated the burden of antenatal depression, its risk factors, and its effect on preterm birth. Methods The study uses the following data: maternal depression measured between 24 and 28 weeks of gestation using the 9–question Patient Health Questionnaire (PHQ-9); data on pregnancy including an ultrasound before 19 weeks of gestation; data on pregnancy outcomes; and data on woman’s age, education, parity, weight, height, history of previous illness, prior miscarriage, stillbirth, husband’s education, and household socioeconomic data collected during early pregnancy. Using PHQ-9 cutoff score of ≥12, women were categorized into none to mild depression or moderate to moderately severe depression. Using ultrasound data, preterm birth was defined as babies born <37 weeks of gestation. To identify risk ratios (RR) for antenatal depression, unadjusted and adjusted RR and 95% confidence intervals (CI) were calculated using log- binomial model. Log-binomial models were also used for determining the effect of antenatal depression on preterm birth adjusting for potential confounders. Data were analyzed using Stata version 16 (StataCorp LP). Results About 6% of the women reported moderate to moderately severe depressive symptoms during the antenatal period. A parity of ≥2 and the highest household wealth status were associated with an increased risk of depression. The overall incidence of preterm birth was 13.4%. Maternal antenatal depression was significantly associated with the risk of preterm birth (ARR, 95% CI: 1.34, 1.02–1.74). Conclusion The increased risk of preterm birth in women with antenatal depression in conjunction with other significant risk factors suggests that depression likely occurs within a constellation of other risk factors. Thus, to effectively address the burden of preterm birth, programs require developing and providing integrated care addressing multiple risk factors.