Fear of infection and measures taken to mitigate infection, such as social distancing, lockdown and isolation can lead to anxiety and depression across the life course, but especially in pregnancy. We set out to identify the prevalence of depression in pregnancy, using Edinburgh Postnatal Depression Scale (EPDS) during national quarantine and to examine women’s knowledge, attitude, and practices (KAP) in regard to potential COVID-19-related depression. Following ethical approval, an observational design, with an online questionnaire and snowball sampling was used to recruit 546 pregnant women (231 primi and 315 multiparous) in Jordan via common social media platforms (facebook, WhatsApp). Over one third (36.7%) reported depressive symptoms. There were significantly lower depression scores among pregnant women who exhibited more knowledge about COVID-19 (in high [vs low] knowledge groups, mean EPDS = 10.8 [vs 12.2]; p = 0.007). Depression scores were not significantly associated with attitude nor with practice. This suggests that enhanced knowledge levels may protect pregnant women against depression. Our findings contribute to understanding of the experience of pregnant women in developing countries during the COVID-19 pandemic. Healthcare Professionals should provide health education to all pregnant women and timely services to pregnant women with depressive symptoms. This may lead to the prevention of serious symptoms and reduce negative consequences on the next generation, not only in Jordan, but worldwide.