Depression during pregnancy is linked to adverse perinatal and offspring outcomes. The Patient Health Questionnaire-9 (PHQ-9) has been validated for identifying depression in pregnant women in limited cultural contexts. Construct validity and reliability have been assessed in Lima, Peru, but criterion validity has not. This study aimed to comprehensively evaluate the PHQ-9 among pregnant Peruvian women in the Pregnancy Outcomes, Maternal and Infant Study (PrOMIS). Using Composite International Diagnostic Interview (CIDI) criteria for past-12-month major depressive disorder as the reference standard, sensitivity, specificity, and predictive value of the PHQ-9 for detecting depression were assessed at various cutpoints of the PHQ-9. Confirmatory factor analysis (CFA) was used to evaluate one- and two-factor structures for the PHQ-9. Cronbach’s alpha was computed for the entire PHQ-9 scale and for subscales supported by CFA. A cutpoint of ≥8 maximized combined sensitivity (61%) and specificity (62%). At this cutpoint, positive predictive value was low (15%) and negative predictive values was high (93%). Reliability for the full scale was high (α = 0.80). Both one- and two-factor solutions were appropriate for this population, but a two-factor solution containing an affective/mood factor (α = 0.67) and a somatic factor (α = 0.75) was optimal (CFI = 0.93, RMSEA = 0.075). Among pregnant women in Lima, screening with the PHQ-9 can identify those in need of mental health care, but may identify a large number of false positive cases.