Objective: This study aims to extend the understanding of the psychological impact of the first-trimester pre-eclampsia (PE) screening on women identified as high risk for preterm PE. We examined the differences between low- vs. high-risk women throughout pregnancy in: symptoms of distress (anxiety, depression, physical and mental health, and worry), health behaviour changes, the experience of pregnancy, and attitudes towards PE screening. Methods: This study was nested within the ASPRE trial. Pregnant women were screened for preterm-PE risk status in the first trimester; the assessments were carried out before the screening, in the second and in the third trimester (n = 155 low-risk women and N = 82 high-risk women in the second trimester). Results: The high-risk-for-PE women exhibited more depressive symptoms compared to the low-risk women in the second but not in the third trimester. No differences were observed between the two groups in other distress symptoms or in the women’s evaluation of their experience of pregnancy. The high-risk group reported greater health behaviour changes compared to the low-risk group, but this was moderated by depression levels. Conclusions: Overall, pregnant women reported positive attitudes towards first-trimester PE screening, despite transient depressive symptoms. This study offers supportive evidence concerning the appropriateness of PE screening in ethical terms.