ObjectiveTo investigate the relationship between pregnancy stress and prenatal anxiety in pregnant women in Urumqi, Xinjiang, and the mediating effect of mental resilience level on the relationship between pregnancy stress and prenatal anxiety.MethodThe investigation involved 750 pregnant women at a tertiary hospital in Urumqi, and included a questionnaire eliciting general demographic information, a pregnancy stress scale (Pregnancy Pressure Scale, PPS), generalized anxiety disorder scale (Generalized Anxiety Disorder-7, GAD-7), and a mental resilience scale (Connor—Davidson resilience scale, CD-RISC). The Bootstrap mediation effect test was used to test the effect relationship between variables, and Amos was used to establish the structural equation model.ResultsAmong the 750 participants, 122 (16.2%) had moderate or greater pregnancy stress (PPS > 1), 372 (49.6%) had mild or greater anxiety symptoms (GAD-7 > 5), and 241 (32.1%) had good or higher mental resilience score. Pregnancy stress negatively affected resilience (β = −0.37, p < 0.01), and resilience also negatively affected prenatal anxiety (β = −0.12, p < 0.01). The mediating effect value of resilience was 8.3%.ConclusionPregnancy stress, mental resilience, and prenatal anxiety were significantly correlated, and mental resilience played a partial mediating role in the influence of pregnancy stress on prenatal anxiety. It is recommended that pregnant women exercise their mental resilience to reduce the incidence of prenatal anxiety and promote physical and mental health.