Depression is one of the most common pregnancy complications, affecting approximately 15% of pregnant people. While valid psychometric measures of depression risk exist, they are not consistently administered at routine prenatal care, exacerbating the problem of adequate detection. The language we use in daily life offers a window into our psychological wellbeing. In this longitudinal observational cohort study of prenatal patients using a prenatal care mobile health app, we examine how features of app-entered natural language and other app-entered patient-reported data may be used as indicators for validated depression risk measures. Patient participants (n=1091) were prescribed a prenatal care app as part of a quality improvement initiative in the UPMC healthcare system from September 2019 - May 2022. Natural language from open-ended writing prompts in the app and self-reported daily mood, were entered by patients using the tool. Participants also completed a validated measure of depression risk - the Edinburgh Postnatal Depression Scale (EPDS) - at least once in their pregnancy. A variety of natural language processing tools were used to score sentiment, categorize topics, and capture other semantic and syntactic information from text entries. LASSO was used to model the relationship between the natural language features and depression risk. Open-ended text within a 30-day and 60-day timeframe of completing an EPDS was found to be moderately predictive of moderate to severe depression risk (AUROC=0.66 and 0.67, for each respective timeframe). When combined with average daily reported mood, open-ended text showed good predictive power (AUROC=0.87). Consistently predictive language features across all models included themes of "money" and "sadness." The combination of natural language and other user-reported data collected through a mobile health app offers an opportunity for identifying depression risk among a pregnant population.