The aim of this study was to apply complexity theory to explain and understand how risk factors combined in complex ways, eventually leading to a high prevalence of depressive symptoms among pregnant women. We also aimed to evaluate whether depressive symptoms affected delivery approach. The study had a longitudinal design and was conducted between May and September 2017. A total of 481 pregnant women were recruited to participate and completed closed-end surveys at two distinct times: during prenatal care at the hospital after 26 weeks of pregnancy and 1 to 4 weeks after delivery. This study identified eleven different pathways that led to an increase in depressive symptoms. Each pathway differentiated the effects of different influencing factors. Among the 481 pregnant women, 128 (26.6%) had cesarean deliveries without medical indications. Although depressive symptoms could affect delivery approach, it was not the most important factor. Surprisingly, the first production emerged as the key factor determining delivery mode. This study was innovative in that it examined which factors and which combinations of factors were necessary for the development of depressive symptoms. Additionally, this study provided a better understanding of the mechanisms underlying the choice of cesarean section without medical indications.