Objective To investigate the level of mental health of pregnant women during the COVID-19 epidemic, and to explore the influencing factors. Methods Totally 1 261 pregnant women from 12 provinces and cities in China were investigated using the Patient Health Questionnaire (PHQ-9), 7-tem Generalized Anxiety Disorder Scale (GAD-7) and 12-item General Health Questionnaire (GHQ-12) from February 22 to March 5, 2020. Results The prevalence of depression was 27.7% and of anxiety was 14.3%. Anxiety and depression were positively correlated with mental health (P<0.01 for both). The delay of maternity check-ups and impact of the epidemic on perinatal period were the common risk factors of depression and anxiety. Conclusion Anxiety and depression were prevalent among pregnant women during the COVID-19 epidemic, and affected by multiple factors. Healthcare providers should pay attention to mental health of pregnant women and take person-centered interventions.