Objective To analyze the prevalence of depression in early pregnancy, explore its possible influencing factors, and provide reference for mental health care during pregnancy. Methods A baseline survey of 9 193 early pregnant women recruited by the Chinese Pregnant Women Cohort Study (CPWCS) program was conducted. Edinburgh Postnatal Depression Scale was used to assess the depression symptoms in early pregnancy. The χ² test and multivariable logistic regression were used to analyze the influencing factors. Results The rate of depression in early pregnant women in CPWCS was 46.50%. Multivariate analysis showed that unplanned pregnancy (OR=1.23, 95%CI: 1.12~1.35, P<0.001), passive smoking (OR=1.28, 95%CI: 1.18~1.39, P<0.001), drinking (OR=1.35, 95%CI: 1.12~1.63, P=0.002) and consumption of carbonated or sugary beverages （OR=0.80, 95%CI: 0.73~0.88, P<0.001） were risk factors for depression during early pregnancy, while enough sleep (OR=0.71, 95%CI: 0.57~0.88, P=0.002), moderate-high level of physical activity (OR=0.87, 95%CI: 0.78~0.98, P=0.023), healthy intake of vegetables and fruits（OR=0.60, 95%CI: 0.51~0.70, P<0.001), animal foods（OR=0.82, 95%CI: 0.74~0.91, P<0.001） and milk and dairy products（OR=0.81, 95%CI: 0.72~0.90, P<0.001）were protective factors. Conclusion The rate of depression was high and it was affected by many factors. It is necessary to pay more attention to depression symptoms during early pregnancy and carry out targeted psychological health care during pregnancy.