Common mental disorders, such as depression and anxiety, affect approximately 16% of pregnant women in low- and middle-income countries. Food insecurity (FI) has been shown to be associated with depressive symptoms. It has also been suggested that the association between FI and depressive symptoms is moderated by social support (SS); however, there is limited evidence of these associations among pregnant women living in low-income and middle-income countries. We studied the association between FI and depressive symptoms severity and assessed whether such an association varied among Ugandan pregnant women with low vs. high SS. Cross-sectional data were collected among 403 pregnant women in northern Uganda. SS was assessed using an eight-item version of the Duke-UNC functional SS scale. FI and depressive symptoms were assessed by, respectively, the individually focused FI scale and the Center for Epidemiologic Studies-Depression scale. Women were categorized into two SS groups, based on scoring < or ≥ to the median SS value. Multivariate linear regression models indicated an independent association between FI and depressive symptoms severity. The association between FI and depressive symptoms severity was moderated by SS i.e. was stronger among women in the low SS category (adjusted beta (95%CI): 0.91 (0.55; 1.27)) than for women belonging to the high SS group (0.53 (0.28; 0.78)) (adjusted p value for interaction=0.026). There is need for longitudinal or interventional studies among pregnant women living in northern Uganda or similar contexts to examine the temporal sequence of the associations among food insecurity, depressive symptoms severity and social support.