‌Background Women are at a higher risk for depression progression, especially during pregnancy. The current study purposed to investigate depression, anxiety, and stress levels of pregnant mothers in the initial stage of the COVID-19 infection in the southwest of Iran. Methods This cross-sectional study was conducted during March and April, 2020, in Shiraz, Iran. Pregnant mothers registered in maternity clinics affiliated with Shiraz University of Medical Sciences were included. An online self-administered checklist was used. It included socio-demographic, obstetric and medical histories, and the short form of the Depression Anxiety Stress Scales (DASS-21) to evaluate depression, anxiety, and stress. A p-value < 0.05 was considered significant. Results In total, 540 pregnant mothers answered the questionnaire. 83.5% had no comorbidity. Abnormal depression scores were significantly higher in those who had no insurance (OR = 2.5) and in those with poor self-rated health (SRH) (OR = 27.8). Pregnant mothers with lower SRH and two or more comorbidities had a higher chance of having an abnormal level of anxiety subscale (6.9, 3.7 times, retrospectively). Conclusion The results revealed that an abnormal level of depression was associated with SRH and medical insurance status. Moreover, the number of comorbidities and poor SRH significantly increased the chance of achieving abnormal anxiety levels in pregnant mothers during the COVID-19 pandemic.