The transition to fatherhood may be challenged with anxiety and trepidation. A high prevalence has been found for paternal depression and it is reactive to maternal depression. This review aims to address potential sources of paternal depression, which may have adverse consequences on child development. We describe through three hypotheses how fathers may be at risk of depression during the transition to fatherhood: (1) psychological (interacting with ecological systems); (2) brain functional∖structural changes; and (3) (epi)genomic. We propose that paternal stressful experiences during the transition to fatherhood may be the source for paternal depression through direct stressful paternal experiences or via (potential, currently debated) nonexperienced (by the father) epigenomic transgenerational transmission. On the other hand, we suggest that resilient fathers may undergo a transient dysphoric period affected by identifying with the newborn's vulnerability as well as with the mother's postpartum vulnerability resulting in “paternity blues.” In accordance with recent views on paternal “heightened sensitivity” toward the infant, we propose that the identification of both parents with the vulnerability of the newborn creates a sensitive period of Folie a Deux (shared madness) which may be a healthy transient, albeit a quasi-pathological period, recruited by the orienting response of the newborn for survival.