Maternal pre-pregnancy obesity has been linked with an increased risk for negative emotionality and inattentiveness in offspring in early childhood. The aim of this study was to examine the association between maternal pre-pregnancy body mass index (BMI) and the development of affective problems (dysthymic disorder, major depressive disorder) throughout childhood and adolescence. In the Western Australian Pregnancy Cohort (Raine) Study, 2900 women provided data on their pre-pregnancy weight, and height measurements were taken at 18 weeks of gestation. BMI was calculated and categorized using standardized methods. Live-born children (n = 2868) were followed up at ages 5, 8, 10, 14 and 17 years using the Diagnostic and Statistical Manual of Mental Disorders-oriented scales of the Child Behavior Checklist (CBCL/4–18). Longitudinal models were applied to assess the relationships between maternal pre-pregnancy BMI and affective problems from age 5 through 17. There was a higher risk of affective problems between the ages of 5 and 17 years among children of women who were overweight and obese compared with the offspring of women in the healthy pre-pregnancy weight range (BMI 18.5–24.99) after adjustment for confounders, including paternal BMI. Maternal pre-pregnancy overweight and obesity may be implicated in the development of affective problems, including depression, in their offspring later in life.