Pregnant women are especially vulnerable to mental health problems, including stress, anxiety, and depression. This risk has been increased during the COVID-19 pandemic and differences in psychological symptoms in pregnancy and postpartum before and during COVID-19 exists. Mental health problems can have adverse effects on both the woman, and the neonate, including miscarriages, premature births, low birth weight, and higher rates of cesarean sections and instrument-assisted deliveries. Aim: To evaluate the prevalence of psychological symptoms of pregnant women before and during the COVID-19 pandemic. Method: A cross-sectional study was carried out to assess the psychological profile in a sample of pregnant women selected before the pandemic and a sample of women studied during the first wave of the pandemic. A total of 122 women were selected prior to the pandemic and 181 women during the COVID-19 outbreak. The Symptom Checklist-90 Revised (SCL-90-R) was used to assess depression and anxiety during pregnancy and in the postpartum period. Results: The prevalence of symptoms of depression and anxiety during pregnancy were higher in the sample of women studied during the pandemic (SCL-90-R: M = 54.6 vs. 42.6 and M = 62.6 vs. 51.7 respectively). In the postpartum the difference between both samples of women was even higher for depression and anxiety (SCL-90-R: M = 50.4 vs. 35.0 and M = 51.3 vs. 36.0 respectively). Being a pregnant woman at the COVID-19 outbreak was directly associated with a higher score of depression symptoms (aOR = 8.67, 95% CI [3.26, 23.02], p < .001). Anxiety during childbirth was more frequently reported by women before the pandemic (aOR = 5.13, 95% CI [2.53, 10.44], p < .001). The variable stage (before /during pandemic) was also associated with having a clinical SCL-90-R score above 70 (aOR = 7.61, 95% CI [2.7, 21.47], p < .001). Conclusion: During the pandemic, pregnancy and postpartum were associated with the presence of anxiety and depression. The main factor associated with postpartum depression was maternal age. These finding highlights the vulnerability of pregnant in front of the pandemic, in which psychological health and mental well-being are affected, not only during pregnancy, but also in the postpartum.