The management of mood disorders during pregnancy is complex due to risks associated with medication use and risks associated with untreated depression. Antidepressant use during pregnancy is an exposure for the unborn child, and it currently remains unclear what long-term repercussions there might be from this exposure, though available data are reassuring. On the other hand, there are risks for both the mother and child of untreated depression during pregnancy. There is a real need for research into nonpharmacological strategies for the prevention of relapse of mood disorders in pregnant women who are off medications. We have reviewed a number of potential candidate interventions including psychotherapies, exercise, light box therapy (LBT), repetitive transcranial magnetic stimulation (rTMS), electroconvulsive therapy (ECT), holistic strategies, and nutritional and herbal supplements. Currently there is a lack of evidence supporting the use of such strategies in the prevention of depressive relapse during pregnancy, though most of these strategies have at least some support for their use in the treatment of a major depressive episode. Carefully conducted research using one or more of these strategies in women who want to discontinue antidepressants for pregnancy is sorely needed.