(1) Background: To investigate whether women suffering from recurrent pregnancy loss (RPL) have a higher prevalence of self-reported depression than healthy controls and to assess the associated risk factors for RPL women self-reporting the symptom of depression. (2) Methods: A cross-sectional study investigating 247 women with histories of RPL and 193 healthy women was performed in Southwest China. The Zung Self-Rating Depression Scale (SDS) was used to measure self-reported depression, and the prevalence of self-reported depression was compared between the two groups. Sociodemographic data for the two groups and clinical information for the RPL group were collected by questionnaires. (3) Results: The prevalence of self-reported depression was higher in the RPL group than in the control group (45.3% vs. 30.1%, p < 0.01). Subgroup analyses indicated that the statistical difference in the prevalence of self-reported depression was significant in the subgroups of women in the first trimester of gestation, age ≥ 36 years, BMI ≥ 18.5 kg/m2, working hours ≤ 8 h/day, university and higher education, and urban residence. Multivariable logistic analysis indicated that age ≥ 36 years, >2 times of spontaneous miscarriages, and no history of live birth were independent risk factors for RPL women self-reporting depression. (4) Conclusions: A higher prevalence of self-reported depression was observed in RPL patients than in healthy women. The psychological status for RPL patients with age ≥ 36 years, >2 times of spontaneous miscarriages, or without a history of a live birth needs to be further addressed.
