Abstract Background Perinatal depression (PND) is a debilitating condition affecting maternal well‐being and child development. Allopregnanolone (ALLO) is important to perinatal neuroplasticity, however its relationship with depression severity and postpartum structural brain volume is unknown. Method We examined perinatal temporal dynamics and bidirectional associations between ALLO and depression severity and the association between these variables and postpartum gray matter volume, using a random intercept cross‐lagged panel model. Results We identified a unidirectional predictive relationship between PND severity and ALLO concentration, suggesting greater depression severity early in the perinatal period may contribute to subsequent changes in ALLO concentration ( β = 0.26, p = 0.009), while variations in ALLO levels during the perinatal period influences the development and severity of depressive symptoms later in the postpartum period ( β = 0.38, p = 0.007). Antepartum depression severity (Visit 2, β = 0.35, p = 0.004), ALLO concentration (Visit 2, β = 0.37, p = 0.001), and postpartum depression severity (Visit 3, β = 0.39, p = 0.031), each predicted the right anterior cingulate volume. Antepartum ALLO concentration (Visit 2, β = 0.29, p = 0.001) predicted left suborbital sulcus volume. Antepartum depression severity (Visit 1, β = 0.39, p = 0.006 and Visit 2, β = 0.48, p < 0.001) predicted the right straight gyrus volume. Postpartum depression severity (Visit 3, β = 0.36, p = 0.001) predicted left middle‐posterior cingulate volume. Conclusion These results provide the first evidence of bidirectional associations between perinatal ALLO and depression severity with postpartum gray matter volume.