Background Peripartum depression in and after pregnancy are common, reported by 11.9% of women worldwide, and the proportion was even higher during the outbreak of coronavirus disease 2019 (COVID-19). We aimed to investigate the prevalence and risk factors of peripartum depression under the influence of COVID-19 in China. Methods Using a cross-sectional design, 2026 pregnant and postpartum women residing in Beijing, Wuhan, and Lanzhou of China were recruited from February 28 to April 9, 2020. The Patient Health Questionnaire-9 was used to assess their depressive symptoms. The women were divided into four subgroups based on pregnancy stage, and a binary logistic regression analysis was conducted on each subgroup. Results Under the influence of COVID-19, the prevalence rate of peripartum depression among Chinese women was 9.7%. It was 13.6, 10.8, 7.9 and 7.3% in the first, second, third trimester and puerperium, respectively. Regression analysis showed that the influence of current pregnancy status on movement (Mild vs. No, aORs were 3.89, P < 0.001, 2.92, P = 0.003, 1.58, P = 0.150 in the three trimesters, respectively; Severe vs. No, aORs were 13.00, 20.45, 5.38 in the three trimesters, respectively, all P < 0.05), and worries and fears about childbirth (aORs were 2.46, 2.96, 2.50 in the three trimesters, respectively, all P < 0.05) were associated with depression throughout pregnancy. Conclusions The prevalence rate of peripartum depression during the COVID-19 outbreak in China was not higher than usual. The influence of current pregnancy status on movement, as well as worries and fears about childbirth were independent risk factors for peripartum depression throughout pregnancy during COVID-19. The stage of pregnancy should be considered when implementing interventions.