Up to 13% of women may experience symptoms of depression during pregnancy or in the postpartum period. Depression during pregnancy has been associated with an increased risk of adverse neurodevelopmental outcomes in the child and epigenetic mechanisms could be one of the biological pathways to explain this association. In 844 mother-child pairs from the Avon Longitudinal Study of Parents and Children, we carried out an epigenome wide association study (EWAS) to investigate associations between prospectively collected data on maternal depression ascertained by the Edinburgh Postnatal Depression Scale in pregnancy and DNA methylation in the cord blood of newborn offspring. In individual site analysis, we identified two CpG-sites associated with maternal depression in the middle part of pregnancy. In our regional analysis, we identified 39 differentially methylated regions (DMRs). Seven DMRs were associated with depression at any time point during pregnancy, seven associated with depression in mid-pregnancy, 23 were associated with depression in late pregnancy, and two DMRs were associated with depression throughout pregnancy. Several of these map to genes associated with psychiatric disease and brain development. We attempted replication in The Generation R Study and could not replicate our results. Although our findings in ALSPAC suggest that maternal depression could be associated with cord blood DNA methylation the results should be viewed as preliminary and hypothesis generating until further replicated in a larger sample.