Pregnancy should be an exciting experience and a moment awaited, but it is different for out-of-wedlock pregnancy. Unmarried pregnancy causes a variety of problems especially to the pregnant mother including psychological problems such as depression and cognitive distortion. This study aims to identify the needs of depression and cognitive distortion module that can be used for out-of-wedlock pregnant adolescents at a shelter homes in Malaysia. A total of 42 respondents had participated in this study of which 30 were former trainees and 12 were managers or teachers from five shelter homes. A set of questionnaires with 20 items representing five main themes used in this study. Descriptive statistical methods such as mean, standard deviation, percentage and frequency were obtained. The research findings show that the respondents agreed with the five themes (M=3.30) with a percentage of 85 percent. The implication of this research is that it allows an in-depth exploration of the development of depression and cognitive distortion module which will address the out-of-wedlock pregnancy issue. Apart from that, appropriate theory can also be identified as the basis of module development. In this case, the effectiveness of the module should also be considered.