Background The study investigates the prevalence of Panic Disorder (PD) with or without comorbid Major (MD) or Minor Depressive (md) disorder during pregnancy and focuses its attention on the different pattern of risk factors in these two subgroups in a sample of women attending two Centres for Prenatal Care of the Public Health Service. Methods Two-hundred and seventy-seven pregnant women were assessed monthly throughout the whole pregnancy period using the Primary Care Evaluation of Mental Disorders (PRIME-MD) for the screening of PD and the Hospital Anxiety and Depression Scale (HADS) for the evaluation of severity of anxious and depressive symptoms. Results Twenty-one women (7.5%) were diagnosed as affected by PD, of whom 12 (57.1%) showed MD or md comorbidity. The development of PD without depressive comorbidity is predicted by a history of previous episodes of Anxiety Disorders while the development of PD plus depressive comorbidity is predicted by a history of previous depressive episodes and by the lack of familiar support. Limitations Given the small sample size of our anxious and depressed women, the present data need to be verified by using larger samples. Conclusions The frequent association between PD and MD or md, the analysis of risk factors and of temporal relationship strongly suggests that the panic-depressive comorbidity might represent in fact depressive disorders with intense anxiety symptoms. These findings raise the question if the PD-depressive association is a true comorbidity or reveals the anxious symptomatology of a depressive disorder (MD or md). © 2014 Elsevier B.V.