Background <p>Perinatal depressive symptoms are associated with exclusive breastfeeding; however, the longitudinal mediating process of this relationship remains unclear. Breastfeeding self-efficacy may be an important variable in understanding the complex process involved in their co-occurrence. Therefore, we aimed to explore the role of breastfeeding self-efficacy in the relationship between perinatal depressive symptoms and exclusive breastfeeding using both between- and within-person approaches.</p> Methods <p>A prospective longitudinal study was conducted from October 2021 to January 2024 at a tertiary hospital in Hunan, China. Depressive symptoms were measured at 36 gestational weeks and 1&#xa0;week, 6&#xa0;weeks, 3&#xa0;months, and 6&#xa0;months postpartum. Exclusive breastfeeding and breastfeeding self-efficacy were evaluated at the same postpartum intervals. Cross-lagged panel models, random intercepts cross-lagged panel models, and longitudinal mediation models were used to analyze their relationships.</p> Results <p>A total of 334 participants were included. Longitudinal mediation models revealed that breastfeeding self-efficacy mediated the prospective negative effect of perinatal depressive symptoms on exclusive breastfeeding at the between-person level (<i>b</i> = − 0.017, SE = 0.008, 95% CI (− 0.032, − 0.001), <i>P</i> = 0.036), and suppressed the positive effect of exclusive breastfeeding on depressive symptoms at the within-person level (<i>b</i> = − 0.044, SE = 0.022, 95% CI (− 0.087, 0.000), <i>P</i> = 0.047).</p> Conclusions <p>Mothers with perinatal depressive symptoms may face challenges in exclusive breastfeeding due to reduced breastfeeding self-efficacy. While increasing exclusive breastfeeding might help reduce depressive symptoms over time, this positive effect can be hindered if breastfeeding self-efficacy remains low. Our findings highlight breastfeeding self-efficacy as a critical target for future interventions.</p>