Sudden hormonal changes along with the fact that having a baby is a major change in a woman's life can all add to this. This form of depression usually begins around 3 days after giving birth and has been know to last from a few days to as long as a week or two. Some of the other causes of the baby blues are also that the new mother is worried that she won't be able to take care of her baby, or that she isn't going to be a good enough mother.
Some women get depressed because they miss their old way of living.
Having a baby is a big responsibility and that in it self can be very overwhelming. Add the loss of freedom to come and go as easily as before. A new mother may feel left out of things because everyone is giving all the attention to the baby and not to her anymore. Also women tend to worry more about how they look so after giving birth a new mother may fear she will always look too fat or is no longer attractive, and is afraid it will always be that way. Then there are financial fears.