Background: The mental health of pregnant women, particularly those with elevated risks, has been an issue of global concern. Thus far, few studies have addressed mental health of pregnant women with threatened preterm labour (TPL). In the present study, we investigated self-perceived burden (SPB) and postpartum depression (PPD) among hospitalized pregnant women with TPL, exploring the association of SPB with PPD, and identifying other potential risk factors of early PPD. Methods: A self- reported survey conducted in the Obstetrics Department of Anhui Provincial Hospital, People’s Republic of China. Women hospitalized with TPL were approached one week after delivery. One hundred fifty women were recruited from January 2017 to December 2017. Self-Perceived Burden Scale (SPBS), Edinburgh Postnatal Depression Scale (EPDS), and Multidimensional Scale of Perceived Social Support (MSPSS) were the main measures. Descriptive statistics, Spearman's correlation, and multiple logistic regression were employed for data analysis.Results: SPB and PPD were commonly experienced by women hospitalized with TPL, and SPB was positively and significantly correlated with PPD. A multiple logistic regression analysis revealed that, for the women hospitalized with TPL during pregnancy, the emotional aspect of SPB (OR = 1.473, 95% CI = 1.141–1.903, p = 0.003), age (OR = 1.178, 95%CI = 1.056–1.314, p = 0.003), occupation (OR = 0.282, 95%CI = 0.095–0.023, p = 0.023), history of scarred uterus (OR = 0.163, 95%CI = 0.034–0.769, p = 0.022), delivery mode (OR = 5.974, 95%CI = 1.750–20.396, p = 0.004), and family support to women hospitalized with TPL during pregnancy (OR = 0.665, 95% CI = 0.498–0.887, p = 0.006) were the significant factors predicting early signs of PPD. Conclusion: This study indicated that SPB and PPD were prevalent mental issues among hospitalized women with TPL, and SPB, especially perceived emotional burden, is a strong predictor of PPD. Our study suggests the necessity of paying attention to mental health issues—especially SPB and PPD—among hospitalized women with TPL, as well as providing appropriate interventions at the prenatal stage to prevent adverse consequences. Perceiving support from family during pregnancy with high risk can help women in reducing the risk of PPD.