Background: Pregnancy has been identified as a risk factor for increasing rates of obesity in women. In recent years, psychological factors have been demonstrated to play a key role in contributing to and maintaining postpartum weight retention (PWR). Objective: The aim of this study was to explore the relationship between psychological distress during late pregnancy and early postpartum, specifically depression, anxiety, stress, and body dissatisfaction, and early PWR. Methods: Pregnant women (N = 227) completed a series of questionnaires at 32 weeks gestation and 3 months postpartum. Results: The most salient predictor of PWR was gestational weight gain (GWG). In a prospective hierarchical regression analysis, only GWG contributed unique prediction of early PWR. In a second hierarchical regression analysis examining cross-sectional relationships with three-month PWR, GWG and early postpartum stress contributed unique variance while the contribution of feelings of fatness approached significance. Conclusions: Given the large association of GWG to early PWR, interventions should focus on the prevention of GWG during pregnancy, as well as screening for body dissatisfaction and stress in the early postpartum.