Postnatal depression (PND) affects 10–15% of postnatal women worldwide, yet it is poorly recognized and managed. Among the psychological interventions, which are used to manage PND, cognitive–behavioural therapy was found to be effective and promising. In the past decade, research efforts have focused on developing effective antenatal interventions to prevent PND. Strong antenatal predictors such as antenatal depressive symptoms have been identified for targeted early intervention or prevention to help reduce the risk of developing depression after childbirth. However, the findings regarding effectiveness of antenatal preventive interventions have been inconsistent. Based on the reports of previous studies, a brief group antenatal intervention using cognitive–behavioural approach is necessary, particularly one with sensitivity for Chinese woman. This paper reports the details of a nurse-led cognitive–behavioural programme developed and tested in, and for use with a sample of Hong Kong pregnant women. The trial run showed that the programme was feasible to be implemented and well received by the participants.