Background The impact of antenatal depression on pregnancy outcomes has been well investigated in developed countries, but few studies have been conducted in low-income countries. As depression is significantly affected by socio-economic and cultural factors, it would be difficult to generalize evidence from high-income countries to low-income countries. We conducted a community-based cohort study to estimate the incidence of adverse birth outcomes and the direct and indirect pathways via which depression and other psychosocial risk factors may impact such birth outcomes within Gondar town, Ethiopia. Methods The study followed 916 pregnant women who were screened for antenatal depression using the Edinburgh Postnatal Depression Scale (EPDS). We also assessed the incidence of preterm births, Low Birth Weight (LBW) and stillbirths. Modified Poisson regression was used to estimate the relative risk of predictors on adverse birth outcomes and a Generalized Structural Equation Model (GSEM) was used to estimate the direct and indirect effect of antenatal depression and other psychological risk factors on adverse birth outcomes. Results The cumulative incidence of stillbirth, LBW and preterm was 1.90%, 5.25%, and 16.42%, respectively. The risk of preterm birth was 1.61, 1.46, 1.49, and 1.77 times higher among participants who identified as Muslim, reported being fearful of delivery, were government employee’s, and who had no antenatal care services, respectively. Partner support moderated the association between depression, preterm birth, and LBW. Depression had no direct effect on birth outcomes but indirectly affected preterm birth via partner support. Religion had both direct and indirect effects on preterm birth, while occupation and fear of delivery had direct effects. The risk of LBW was 9.44 and 2.19 times higher among preterm births and those who had exposure to tobacco, respectively. Stress coping was indirectly associated, and preterm birth and tobacco exposure were directly associated with LBW. The risk of stillbirth was 3.22 times higher in women with antenatal depression and 73% lower in women with higher coping abilities. Conclusions There was a high incidence of all adverse birth outcomes in Gondar Town. Depression and psychosocial risk factors had important indirect negative effects on risk, while partner support provided a positive indirect effect on the incidence of adverse birth outcomes. Interventions that focus on increasing partner engagement and participation in antenatal support may help reduce adverse birth outcomes by enhancing maternal resilience.