Background/Objectives: Maternal mental health problems such as stress, anxiety, and depression (SAD) in antenatal women are major public health challenges. This study aimed to determine the levels of SAD in antenatal women and associate the selected variables with them. Methods: A cross-sectional study was conducted in selected primary health centers (PHC) in Al-Ahsa, Saudi Arabia. The pregnant women were selected using systematic randomization, and their SAD levels were assessed using the perceived stress scale (PSS), the state anxiety scale (SAS), and the patient health questionnaire (PHQ-9), respectively. Linear regression was used to associate factors related to stress, anxiety, and depression. Results: Out of 346 antenatal women, 4% had a high level of stress and 27.2% had a moderate level of stress. Regarding the level of anxiety, 2.6% of them had high anxiety, and 32.9% had moderate anxiety. Around 32 (9.2%) women had moderate depression, and 4 (1.2%) had severe depression. The mean score of SAD was 11.99, 28.88, and 4.73, respectively. A linear regression proved that there was an association between stress and age, occupation, gestational age (GA), gravida, para, abortions, and social support (SS) (p < 0.05). Anxiety was associated with age, GA, gravida, para, abortions, past obstetrical complications, and SS (p < 0.05). Depression was related to age, education, occupation, para, abortions, past obstetrical complications, and SS (p < 0.05). Conclusions: Due to the prevalence of SAD in pregnancy, the screening of these conditions and awareness creation about the associated factors can help to identify potential risks earlier and prevent maternal and fetal complications.