Drinking water access and water and food insecurity have been linked to mental well-being, but few studies have comprehensively assessed potential pathways linking these associations. Understanding these mediation pathways is particularly important among pregnant women, as prenatal stress and poor mental well-being have been shown to negatively impact fetal development. In this study, we address this gap by analyzing the relationships between drinking water source and water and food insecurity with mental well-being amongst pregnant women living in low-income, urban neighborhoods of Beira, Mozambique. Data for this cross-sectional analysis were collected among third-trimester, pregnant women (n = 740) from February 2021 through October 2022 as part of a matched cohort study. Validated, cross-cultural measures of mental well-being and household water and food insecurity were administered in the survey. Drinking water source was determined by presence of a household drinking water source on-premises. We used logistic regression to characterize the associations between drinking water source, water and food insecurity, and mental well-being and causal mediation analysis to determine mediation by food and water insecurity along these pathways. We found evidence that water insecurity (OR 1.44; 95%CI 1.02, 2.02) and food insecurity (OR 2.27; 95%CI 1.57, 3.34) were individually associated with adverse mental well-being. Drinking water source was not associated with mental well-being (OR 1.00; 95%CI 0.71, 1.39), water insecurity (OR 0.86; 95%CI 0.60, 1.24), or food insecurity (OR 1.02; 95%CI 0.71, 1.47). Food insecurity may also mediate the relationship between water insecurity and mental well-being (ACME 0.05; 95%CI 0.02, 0.07; ADE 0.04; 95%CI -0.04, 0.13). Our findings support growing literature that water and food insecurity are important to mental well-being, a key aspect of overall health. Further research is needed to confirm causality along these pathways and determine specific mechanisms through which these interactions take place.