Early detection of perinatal depression is an urgent issue. Our study aimed to examine the construct validity and factor structure of the Japanese version of the Edinburgh Postnatal Depression Scale (EPDS) from a prospective cohort study from pregnancy to postpartum. A total of 1075 women completed all items of the EPDS at four time points: early pregnancy, late pregnancy, 5 days postpartum and 1 month postpartum. The participants were randomly divided into two sample sets. The first sample set (n = 304) was used for exploratory factor analysis, and the second sample set (n = 771) was used for confirmatory factor analysis. As a result, the Cronbach's alpha coefficients of the EPDS items were 0.762, 0.740, 0.765 and 0.772 at the four time points. From the confirmatory factor analysis of the EPDS in a sample set of Japanese women from pregnancy to postpartum, the following three factors were detected: depression (items 7, 9), anxiety (items 4, 5) and anhedonia (items 1, 2). In conclusion, the EPDS is a useful rating scale, and its factor structure is consistently stable during the whole peripartum period.