Elevated inflammation has been associated with adverse mood states, such as depression and anxiety, and antioxidant nutrients, such as vitamin C, have been associated with decreased inflammation and improved mood. In the current study comprising a cohort of pregnant women with depression and anxiety, we hypothesised that elevated inflammation would be associated with adverse mood states and inversely associated with vitamin C status and that multinutrient supplementation would optimise vitamin concentrations and attenuate inflammation. Sixty-one participants from the NUTRIMUM trial had blood samples collected between 12 and 24 weeks gestation (baseline) and following 12 weeks of daily supplementation with a multinutrient formula containing 600 mg of vitamin C or active placebo. The samples were analysed for inflammatory biomarkers (C-reactive protein (CRP) and cytokines) and vitamin C content and were related to scales of depression and anxiety. Positive correlations were observed between interleukin-6 (IL-6) and all of the mood scales administered (p < 0.05), including the Edinburgh Postnatal Depression Scale, the Clinical Global Impressions—Severity Scale, the Montgomery and Åsberg Depression Rating Scale, the Depression Anxiety Stress Scale 21, and the Generalized Anxiety Disorder-7 (GAD-7). CRP correlated weakly with GAD-7 (p = 0.05). There was an inverse correlation between CRP and the vitamin C status of the cohort (p = 0.045), although there was no association of the latter with the mood scales (p > 0.05). Supplementation with the multinutrient formula resulted in a significant increase in the vitamin C status of the cohort (p = 0.007) but did not affect the inflammatory biomarker concentrations (p > 0.05). In conclusion, greater systemic inflammation was associated with worse mood states; however, 12-week multinutrient supplementation did not alter inflammatory biomarker concentrations. Nevertheless, the vitamin C status of the cohort was improved with supplementation, which may aid pregnancy and infant outcomes.