Background: Recurrent pregnancy loss (RPL) is associated with increased incidence and severity of depression, anxiety, and stress, and screening for these comorbidities following miscarriages is beneficial for women with RPL who are planning future pregnancies. This study aims to investigate depression, anxiety, and stress among Kazakhstani women with RPL. Methods: This was a case–control study involving 70 women with confirmed RPL and 78 ethnically matched control women. Depression, anxiety, and stress were evaluated using the Depression Anxiety Stress Scales (DASS)-21 instrument. Linear regression and correlation analysis were used in assessing the association of RPL with symptoms of depression, and/or anxiety, and/or stress, after adjusting for key covariates. Results: Women with RPL were found to have significantly higher mean scores for depression (p < 0.001), anxiety (p < 0.001), and stress (p < 0.001) symptoms. Mild–moderate stress and mild–moderate and severe–extreme depression and anxiety symptoms were more frequent in the RPL group than in the control group. Regression analysis demonstrated that RPL was the only significant variable associated with anxiety, depression, and stress symptoms. Conclusion: The results of this study suggest that women with RPL are more likely to experience heightened symptoms of depression, anxiety, and stress. Proper psychological counseling is recommended for women with RPL, as well as their spouses.