A mother's response towards her infant's distress is important for the mother-infant relationship and infant development. There is evidence that maternal responses are impaired in depressed mothers. Further understanding of how depression disrupts maternal responses is important to direct treatment strategies. There is evidence that maternal responses develop during pregnancy. Further understanding of the relationship between depression and maternal responses during pregnancy is therefore important. We have previously found that depression during pregnancy is associated with reduced attentional engagement with infant distress but is unclear whether this is an insensitive or avoidance response. In the current study, we investigated the impact of anhedonic symptoms of depression on pregnant women's autonomic response towards infant distress. We found that women experiencing anhedonic depressive symptoms during pregnancy had significantly larger systolic blood pressure responses towards infant distress (β, 1.6 mmHg, 95 % CI 0.5 to 2.6, p = 0.004) than non-depressed pregnant women. These results suggest that anhedonic symptoms during pregnancy may be associated with increased sympathetic sensitivity. This suggests that depression is not, at a sympathetic level at least, associated with insensitivity to infant distress and rather depression may be associated with an abnormally sensitive response.