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Background: While maternal depressive symptoms during pregnancy have been linked to preterm birth (PTB; birth before 37 completed weeks of gestation), little has been reported on potential buffering factors, particularly specific to Black women who are at much higher risk. We examined the association between depressive symptoms and PTB in pregnant Black women, with father of the baby (FOB) support as a potential buffering factor. Methods: Data were obtained from the life-course influences on fetal environments study (2009–2011), a cohort of 1,410 Black women in metropolitan Detroit, Michigan (71% response rate) using maternal interviews and medical record abstraction collected during the postpartum hospitalization. The 20-item Center for Epidemiologic Studies Depression (CES-D) scale was used to measure depressive symptoms. The 14-item social networks in adult relations questionnaire was used to assess the mother’s relationship with the FOB. Logistic regression was used to explore the interaction between CES-D and FOB support with regard to PTB risk. We adjusted for maternal advanced age, income, education level, smoking status, hypertension, prenatal care and BMI. Results: The PTB rate in this cohort was 17.7%. Among women with FOB scale < 60 (less support), the odd ratio (OR) of PTB for women with CES-D scores ≥ 23 (severe depressive symptoms) as compared to CES-D scores < 23 (no severe depressive symptoms) was 2.57 [95% confidence interval (CI): 1.68, 3.94; p < 0.001]. Among women with FOB scores ≥ 60 (more support), the odds of PTB in women with CES-D scores ≥ 23 did not significantly differ from the odds of PTB in women with CES-D scores < 23 (OR = 1.34; 95% CI: 0.74, 2.44; p = 0.3). After adjustment for covariates, among women with FOB scores < 60, the OR of PTB for women with CES-D scores ≥ 23 compared to < 23 was 2.79 (95% CI: 1.75, 4.45; p < 0.001). Among women with FOB scores ≥ 60, the odds of PTB in women with CES-D scores ≥ 23 was not statistically significantly different compared to the odds of PTB in women with CES-D scores < 23 (OR = 1.21; 95% CI: 0.62, 2.35; p = 0.6). The interaction term was statistically significant (p = 0.04). Discussion/Conclusions: The adverse effect of depressive symptoms on risk of PTB may be buffered by factors such as a supportive relationship with the FOB.