Background: Maternal depression and anxiety can predispose the women to higher risk of complications. The COVID-19 pandemic is a unique stressor which may affect the mental and psychological well-being of pregnant women. Aim: To determine prevalence of depression and anxiety and related factors in pregnant women during COVID-19. Methods: This multicenter analytical cross-sectional study was carried out from August 2021 to December 2021 in six cities of Pakistan. Two stage sampling technique was used to include sample of 400 pregnant women. Patient Health Questionnaire-9 (PHQ-9) and Corona virus Anxiety Scale (CAS) were used to measure depression and anxiety level along with self-constructed questionnaire to record socio-demographic profile. Data entry and analysis was done in SPSS version 23. Association between variables was assessed by applying Chi square test and strength of association was measured by binary logistic regression. p-value ≤ 0.05 was taken as statistically significant. Results: Mean age of participants was 27.25±5.22 years. The mean gestational age was 23.5±9.6 weeks. About 37.1% had mild depression. Moderate depression was found in 7.8% and moderately severe depression in 0.5% participants. Significant association was found between depression and no physical activity (p value=0.02), not having spouse support (p value=0.03), perceived vulnerability to get COVID (p value=0.004) and fear of infection to baby (p value=0.05). Only 3.25% participants had dysfunctional anxiety. Conclusion: Findings of the study would be helpful for policy makers to launch health awareness campaigns about regular physical activity, role of social support and seeking medical advice for mental well-being during pregnancy. Keywords: COVID-19, Anxiety, Depression, Mental health, Pregnancy