Obstructive sleep apnea (OSA) and perinatal depression have an emerging two-way relation with a growing corpus of literature evidence. Due the hormonal pregnancy change, OSA worsens with concomitant hormonal and physiologic fluctuations, with sleep fragmentation, hypoxia, and systemic inflammation, contributing to mood dysregulation and possibly to increased susceptibility to perinatal depression, and in reverse, with depression having a similar function, contributing to sleep impairment and enhancing symptoms of OSA, creating a vicious mechanism. A search in SCOPUS, EMBASE, and PubMed for studies that examined the relation between confounders, pathophysiological mechanisms, and perinatal depression. Thirty-three studies have been uncovered, and nine were included for a qualitative analysis. All studies confirm an increased vulnerability for depressive symptoms in pregnant women with OSA, with a shared pathophysiological mechanism, such as deregulation of the hypothalamic-pituitary-adrenal axis, oxidative stress, and inflammation, and therefore, an early and multidimensional intervention, in an early stage, is necessary to improve the feto-maternal outcomes. This scoping review evidenced the multidimensional prenatal care necessity to support a healthy state during pregnancy.