Research demonstrates that belief in one's effectiveness as a parent (parenting efficacy) is linked to numerous positive outcomes for new parents. Conversely, the perceived inability to meet expectations is associated with negative mental health consequences for mothers and fathers. In the present paper we examine the impact of parenting efficacy expectations on the mental health statuses of new parents. Using three waves of data spanning from the prenatal period to the 4-months postpartum period from a sample of 150 first-time mothers and fathers in the Midwestern United States, we find that parenting efficacy is negatively associated with postpartum depression (PPD) for both mothers and fathers throughout the transition period. We also find that mothers and fathers whose parenting efficacy experiences were more negative than expected reported higher levels of PPD at 1-month postpartum. This effect dissipates for mothers, but not fathers, by 4-months postpartum, suggesting differences in the experiences of mothers and fathers during this transition. We conclude that research on the transition to parenthood should continue to include fathers in an effort to better understand the mental health consequences of becoming a parent for the first time, as well as enhance interventions designed to assist couples experiencing this important transition.