Socios En Salud (SES) implemented the Thinking Healthy program (THP) to support women with perinatal depression before and during the COVID-19 pandemic in Lima Norte. We carried out an analysis of the in-person (5 modules) and remote (1 module) THP intervention. Depression was detected using PHQ-9, and THP sessions were delivered in women with a score (PHQ-9 ≥ 5). Depression was reassessed and pre- and post-scores were compared. In the pre-pandemic cohort, perinatal depression was 25.4% (47/185), 47 women received THP and 27 were reassessed (57.4%), and the PHQ-9 score median decreased from 8 to 2, p < 0.001. In the pandemic cohort, perinatal depression was 47.5% (117/247), 117 women received THP and 89 were reassessed (76.1%), and the PHQ-9 score median decreased from 7 to 2, p < 0.001. THP’s modalities helped to reduce perinatal depression. Pregnant women who received a module remotely also reduced depression.