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Introduction Pregnancy, apart from any external events, is subject to psychological changes. The COVID-19 pandemic in Guinea led to the implementation of restrictive measures followed by the mitigating ones, but few of them have targeted stress and anxiety management in pregnant women. This study aimed to assess the psychological impact and its associated factors in pregnant women. Methods We conducted a cross-sectional study in three health centres in Conakry capital city. Pregnant women were interviewed during antenatal care visits. We used two tools for stress and anxiety assessment: Impact of Event Scale-Revised (IES-R) and Penn State Worry Questionnaire (PSWQ), and followed three steps to seeking for factors associated with stress and anxiety: univariate analysis, regression tree (CART), and logistic regression. Results We surveyed a total of 649 pregnant women. Most of them presented a state of stress (97.7%) and anxiety (52.7%). Gestational age was the main factor associated with stress and anxiety. Pregnant women with a gestational age ≤ 34 weeks had an odd of 0.09 times lower of being stressed compared to those with a gestational age greater than 34 weeks. Pregnant women living in Ratoma and Kaloum with a gestational age was ≤ 9 weeks had an odds of 15.1 times [95% CI: 8.76, 27.4] higher of being worried compared to those from Matoto, Matam and Dixinn with a gestational age greater than 9 weeks. Similarly, pregnant women living in Matoto, Matam and Dixinn with a gestational age ≤ 9 weeks had an odds of 4.48 times [95% CI: 2.59, 8.12] higher of being worried compared to other women from the same localities. Conclusion Most of our participants were at a higher risk of stress and anxiety caused by COVID-19; women in their earlier stage of pregnancy tended to be more vulnerable to these psychological problems. Therefore, it is vital to implement an appropriate management plan which should prioritise those vulnerable pregnant women.