The COVID-19 pandemic in Poland brought uncertainty, not only to the general population but also to women preparing for childbirth, which increased the risk of mental health illnesses during this special period of life. Resilience, which refers to positive adaptation or the ability to maintain good mental health, can be a protective factor against the development of psychiatric problems such as depressive symptoms. This study aimed to assess the protective role of resilience in the relationship of such risk factors as traumatic childbirth perception and pandemic-related pregnancy stress with prenatal depressive symptoms. The study was performed at the end of the first wave of the COVID-19 pandemic. A total of 80 pregnant women took part. A mediation analysis, an independent t-test, and a Pearson correlation analysis were conducted. The lower resilience group declared the inclusion of slightly more participants (n = 41; 51.2%); 39 women (48.8%) demonstrated a higher risk of prenatal depression. The analysis revealed a significant direct effect between pandemic-related stress and prenatal depression (βc = 0.285, SE = 0.05, t = 2.63, p < 0.05) as well as between pandemic-related stress and resilience (βa = −0.283, SE = 0.07, t = −2.61, p < 0.05) and between resilience and prenatal depression (βb = −0.585, SE = 0.07, t = −6.34, p < 0.001). After the introduction of resilience as a mediator, the strength of the relationship not only decreased, but also ceased to be statistically significant (βc′ = 0.120, SE = 0.04, t = 1.29, p = 0.19), which indicates that it was in a full mediation state (R2 = 0.39, F = 25.31, p < 0.001; Z = 2.43, p < 0.05). The results indicate that in pregnant women, a high level of resilience protects them from the effects of pandemic-related stress on perinatal depression symptoms.