Background: The COVID-19 pandemic has contributed to unprecedented worries and challenges for pregnant women due to social restrictions and changes in maternity care provision. We aimed to investigate the mental health impact of COVID-19 pandemic on pregnant women in Sweden and explore factors associated with poor perinatal mental health in this specific context. Method: This was a nation-wide cross-sectional survey of pregnant women living in Sweden. Validated questionnaires were distributed through non-profit organizations´ websites and social media channels from May 2020 to February 2021. Perinatal depression, anxiety, and acute stress reaction were assessed using the Edinburgh Postnatal Depression Scale (EPDS), Generalized Anxiety Disorder-7(GAD-7) and Impact Event Scale (Revised)(IES-R), respectively. Sociodemographic characteristics and self-perceived mental well-being were also obtained. Factors associated with mental health outcomes were analyzed using multivariate logistic regression model. Results: Among a total of 522 participants, 42.5% (n=222) reported depression (EPDS ≥13), 25.3% (n=132) moderate to severe anxiety (GAD-7 score≥10), and 23.4% (n=122) moderate to severe acute stress reaction (IES-R ≥33). 27.4% participants (n=143, 27.4%) expressed concerns regarding their mental well-being during the pandemic. Pregnant mothers who had sick family members reported more severe poor mental health outcomes than those who did not (median [Interquartile range (IQR)] EPDS scores: 14.0 [8.75 – 18.0] vs 10.0 [6.0 – 14.0], p<.001; median [IQR] GAD7 scores: 7.0 [4.0 – 12.25] vs 5.0 [3.0 – 9.0], p<.001; median (IQR) IES-R scores: 20.0 [9.0 – 38.0] vs 15.0 [7.0 – 28.0], p=.008). Logistic regression analyses revealed that risk factors for poor mental health outcomes were having a sick family member with any illness, unemployment, giving birth, and experiencing an exceptional stressful life event. Having a higher educational level, younger age, and changing career during the pandemic were protective. Conclusion: Depression and anxiety were highly prevalent among pregnant women in Sweden during the COVID-19 pandemic, indicating a need for professional mental health support for this vulnerable group of population. Unemployment was an associated risk factor whereas younger age and higher educational level were protective suggesting an important role of socio-economic factors in modulating the impact of COVID-19 pandemic on perinatal mental health.