Aim: Maternal stress during pregnancy has been associated with negative outcomes in children. We examined the risk factors for symptoms of depression in 11-year-old children, including the interaction between birthweight and other variables. Methods: We collected maternal, obstetric and demographic information from birth through to the age of 11. Approximately, half of the 609 children were born small-for-gestational-age (SGA). Information collected at 3.5 and 7 years of age included intelligence testing and parent-reported behavioural and emotional development. At 11 years of age, the children completed the Center for Epidemiological Studies Depression Scale for Children. Multivariable logistic regression analysis examined the relationship between self-reported symptoms of moderate to severe depression at the age of 11 and explanatory variables. Results: Symptoms of moderate to severe depression were related to increasing maternal stress during pregnancy, young maternal age, lower intelligence test scores at 7-years-old and being bullied at school in the previous 6 months. There was also a significant interaction between maternal stress in pregnancy and symptoms of depression in 11-year-old children born SGA. Conclusion: Increasing maternal stress during pregnancy was associated with increased risk of symptoms of moderate to severe depression in 11-year-old children, especially those who were born SGA.