Food insecurity (FI) is an understudied risk factor for depression among perinatal women in sub-Saharan Africa. We therefore explored the longitudinal relationship between FI and depressive symptoms among a cohort of perinatal women of mixed HIV status (n = 371) in Kenya (NCT02974972, NCT02979418). Using longitudinal linear and logistic regressions with random effects, we assessed bivariate and adjusted associations between maternal FI and depressive symptoms. HIV status was also assessed as a potential effect modifier. At baseline, 58% of pregnant women had probable depression (CES-D score > 16) and 84% were severely food insecure. In adjusted analyses, severely food-insecure women had 5.90 greater odds (95% CI 2.32, 15.02, p < 0.001) of having probable depression and scored 4.58 points higher on the CES-D scale (SE: 1.04, p < 0.001) relative to food-secure women. HIV status did not modify the association between FI and depressive symptoms. Interventions to reduce FI may reduce perinatal depression, benefiting mothers and their infants.