**Importance**: Perinatal mental disorders are common, yet few robust risk factors are known. Stressful life events such as loss of a close family member due to death could serve as potential clinical predictors for which mothers develop perinatal mental disorders. **Objective**: To examine the association between bereavement and the risk of first-onset perinatal mental disorders. Design: Nationwide register-based study. **Setting**: Swedish population and healthcare registers. **Participants**: Pregnant women who gave a birth during 2001-2021 with follow-up from conception up to a year after pregnancy **Exposure**: Death of a family member (sibling, parent, partner or child) occurring any time before pregnancy and during the perinatal period, treated as a time-varying variable. **Main Outcome and Measures**: First-onset mental disorders diagnosed during the pregnancy and the year after birth were identified from registers. Hazard ratios (HRs) for any mental disorder and specific disorders were estimated using Cox proportional hazards regression. **Results**: The study included 1,986,490 pregnancies in Sweden (1,097,126 mothers, mean age at conception [standard deviation] = 31.1 [5.0]). In total 276,252 (13.9%) mothers were exposed to family loss. Loss of a family member at any time before or during the perinatal period was associated with an increased risk of any perinatal mental disorder (hazard ratio [HR] and 95% confidence intervals: 1.44 [1.41, 1.48]), particularly if the loss occurred during the perinatal period (HR [95% CI]: 5.86 [5.62, 6.12]). Loss of a spouse and child yielded higher HRs, compared loss of a parent or a sibling. The strongest associations were observed for postpartum mental disorders in relation to stillbirth (HR [95% CI]: 25.97 [24.60, 27.42]) or multiple losses during the perinatal period (HR [95% CI]: 16.92 [13.72, 20.86]). Family loss during the perinatal period was most strongly associated with stress-related disorders (HR [95% CI]: 16.90 [16.10, 17.75]), but also with depressive, anxiety, and psychotic disorders. **Conclusions** and Relevance: Loss of a family member was associated with increased risks of first-onset perinatal mental disorders, particularly if the loss occurred during the perinatal period. Bereaved women may benefit from enhanced monitoring and screening for mental disorders during the perinatal period.