Increasing evidence suggests that maternal depression during pregnancy is associated with child behavioral outcomes even after accounting for later maternal depression. The purpose of this study was to examine various mechanisms, including maternal sensitivity, neonatal problems, and concurrent maternal depression, that might explain the association between prenatal maternal depressive symptoms and toddler behavior problems. Young, low income, African American mothers (n = 196) were interviewed during pregnancy and at 24-months postpartum, medical records were collected at the birth, and mother–child interactions were video-recorded at 24 months. Path analyses revealed that the association between prenatal depression and toddler behavior problems was mediated by maternal sensitivity and maternal depressive symptoms at 24 months. No evidence was found for a mediating effect of neonatal problems. Path models examining sex differences suggested that different mediating factors may be important for boys and girls, with boys being particularly susceptible to the effects of maternal sensitivity.