Background: Twin pregnancies are at increased physiological and psychosocial risks. Objective: To investigate the prevalence of major depression in twin pregnancies and correlate with stress and social support. Method: The study included 51 pregnant women under specialized prenatal care who were evaluated by a Portuguese version of the semi-structured questionnaire Primary Care Evaluation of Mental Disorders (PRIME-MD) for Major Depression, and the Prenatal Psychosocial Profile (PPP) for evaluation of stress and social support. Results: Major depression was found in 33.3% of pregnant women, and prevailing symptoms were fatigue or loss of energy (100%), insomnia or hypersomnia (82.4%), changes in appetite (82.4%), decreased interest in daily activities (82.4%), and psychomotor agitation or retardation (82.4%). Among pregnant women who were diagnosed depressive, 76.5% also had a high level of stress and 47.1% complained about lack of social support. Statistical significance was found when correlating depression with perception of negative aspects of having twins and belief in significant body changes during pregnancy (p = .005 and .03, respectively). Marital status, occupation, and pregnancy planning were not significantly associated with the diagnosis of depression. Conclusion: Major depression occurs in one-third of pregnant women expecting twins and is associated with higher levels of stress and lack of social support. A multidisciplinary approach in these cases is fundamental to minimize further risks and complications.