Background Psychological distress and inappropriate or excessive weight gain are common in pregnancy and are associated with adverse maternal and offspring outcomes. Psychological well-being and weight status of women during pregnancy might be interrelated. We aimed to examine whether psychological distress during pregnancy is associated with gestational weight gain. Method In a population-based cohort of 3393 pregnant women, information about psychological distress, depressive and anxiety symptoms was assessed at 20 weeks of gestation using the Brief Symptom Inventory questionnaire. Weight was repeatedly measured during pregnancy and obtained by questionnaire before and after pregnancy. Linear regression and multinomial logistic regression models were used. Weight gain in the second half of pregnancy, total weight gain, and the risks of inadequate and excessive total weight gain were the main outcome measures. Results In total, 7.0% of all women experienced psychological distress. Overall psychological distress and anxiety were associated with lower weight gain in the second half of pregnancy (differences − 1.00 kg (95% confidence interval (CI) − 1.62, − 0.37) and − 0.68 kg (95% CI-1.24,-0.11), respectively). These associations fully attenuated into non-significance after taking account for socio-demographic variables. Similar results were observed for total weight gain. Only women with anxiety symptoms had, independently of potential confounders, a lower risk of excessive weight gain (odds ratio (OR) 0.61 (95% CI 0.48, 0.91)). Conclusions In this large prospective cohort study, the observed associations of psychological distress with weight gain during pregnancy seem to be largely explained by common socio-demographic factors.