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Neuroticism is a personality trait associated with the risk of affective disorders and perinatal depression. We investigated the relationship between different levels of neuroticism, psychological characteristics, and depressive symptoms in a sample of pregnant women (N = 2631) who accessed the gynecology departments in the Puglia Region (Italy) from July 2020 to November 2022. Women were assessed for depressive symptoms and associated risk factors in their third trimester of pregnancy (T0) and after childbirth (T1), and followed-up at 6 months and 1 year after delivery if presenting signs of depression (T2-T3). The Edinburgh Postnatal Depression Scale (EPDS) was used to screen depressive symptoms, and neuroticism was assessed through the subscales of the NEO Five Factor Inventory. Standardized measures of resilience, coping strategies, partner attachment, and quality of life were also employed. Higher levels of neuroticism were significantly associated with: (a) higher scores on the EPDS; (b) higher anxiety in the experience of close relationships; (c) lower psychological wellbeing; (d) lower levels of resilience; (e) lower levels of active coping; and (f) higher levels of self-blame. Our findings may suggest that neuroticism is a specific associated factor of perinatal depression and should be routinely assessed in the clinical screening of pregnant women in order to promote an early referral to psychological or psychiatric support services.