Maternal postpartum depression (PPD) is a significant public health concern due to the severe negative impact on maternal and child health and well-being. In this study, we aimed to identify genes associated with PPD. To do this, we investigated genome-wide gene expression profiles of pregnant women during their third trimester of pregnancy and tested the association of gene expression with perinatal depressive symptoms. A total of 137 women from a cohort from the University of North Carolina, USA were assessed. The main phenotypes analysed were Edinburgh Postnatal Depression Scale (EPDS) scores at 2 months postpartum and PPD (binary yes/no) based on an EPDS cutoff of 10. Illumina NextSeq500/550 transcriptomic sequencing from whole blood was analysed using the edgeR package. We identified 71 genes significantly associated with postpartum depression scores at 2 months, after correction for multiple testing at 5% FDR. These included several interesting candidates including TNFRSF17, previously reported to be significantly upregulated in women with PPD and MMP8, a matrix metalloproteinase gene, associated with depression in a genome-wide association study. Functional annotation of differentially expressed genes revealed an enrichment of immune response-related biological processes. Additional analysis of genes associated with changes in depressive symptoms from recruitment to 2 months postpartum identified 66 genes significant at an FDR of 5%. Of these genes, 33 genes were also associated with depressive symptoms at 2 months postpartum. Comparing the results with previous studies, we observed that 15.4% of genes associated with PPD in this study overlapped with 700 core maternal genes that showed significant gene expression changes across multiple brain regions (P = 7.9e-05) and 29–53% of the genes were also associated with estradiol changes in a pharmacological model of depression (P values range = 1.2e-4–2.1e-14). In conclusion, we identified novel genes and validated genes previously associated with oestrogen sensitivity in PPD. These results point towards the role of an altered immune transcriptomic landscape as a vulnerability factor for PPD.