Paltrow and her British rocker husband Chris Martin are also the parents of a 4-year-old daughter named Apple.
"I didn't know I had it until after it was over," Paltrow said of the depression she experienced after Moses was born. "I just didn't know what was wrong with me."
Usmagazine.com said the 35-year-old actress told Vogue she suspects her depression stemmed from skipping her usual habits like acupuncture before she gave birth to her second child.
"I felt really out of my body," Paltrow recalled. "I felt really disconnected. I felt really down ... I felt pessimistic."
The actress, who won an Oscar for her work in "Shakespeare in Love," will be seen next month in the big-screen action-adventure flick "Iron Man."