Background On January 20, 2020, a new coronavirus epidemic with “human-to-human” transmission was officially announced by the Chinese government, which caused significant public panic in China. Pregnant women may be particularly vulnerable and in special need for preventative mental health strategies. Thus far, no reports exist to investigate the mental health response of pregnant women to the COVID-19 outbreak. Objective The aim of the present study is to examine the impact of COVID-19 outbreak on the prevalence of depressive and anxiety symptoms and the corresponding risk factors among pregnant women across China. Study Design A multi-center cross-sectional study was initiated in early December 2019 to identify mental health concerns in pregnancy using the Edinburgh Postnatal Depression Scale (EPDS). This study provided a unique opportunity to compare the mental status of pregnant women before and after the announcement of the COVID-19 epidemic. A total of 4124 pregnant women during their third trimester from 25 hospitals in 10 provinces across China were examined in this cross-sectional study from January 1 to February 9, 2020. Of these women, 1285 were assessed after January 20, 2020 when the coronavirus epidemic was publically announced and 2839 were assessed before this pivotal time point. The internationally recommended EPDS was used to assess maternal depression and anxiety symptoms. Prevalence rates and risk factors were compared between the pre and post study groups. Results Pregnant women assessed after the declaration of COVID-19 epidemic had significantly higher rates of depressive symptoms (26.0% vs 29.6%, P =0.02) than women assess pre-epidemic announcement. These women were also more likely to endorse thoughts of self-harm ( P =0.005). The depressive rates were positively associated with the number of newly-confirmed COVID-19 cases ( P =0.003), suspected infections ( P =0.004), and death cases per day ( P =0.001). Pregnant women who were underweight pre-pregnancy, primiparous, < 35 years old, employed full-time, middle income, and had appropriate living space were at increased risk to develop depressive and anxiety symptoms during the outbreak. Conclusion Major life-threatening public health events such as the COVID-19 outbreak may increase the risk for mental illness among pregnant women including thoughts of self-harm. Strategies targeting maternal stress and isolation such as effective risk communication and the provision of psychological first aid may be particularly useful to prevent negative outcomes for women and their fetuses.