Family support may be a protective factor against mental health issues during pregnancy. Little is known about the effect of family function on the mental health of pregnant women. This study aimed to examine the relationship between family functioning and the mental health of pregnant women. The research was conducted with 184 pregnant women. During prenatal care appointments, the participants completed five questionnaires: Family Assessment Device (FAD), State-Anxiety Inventory (SAI), Beck Depression Inventory (BDI-II), Prenatal Coping Inventory (Nu-PCI), and Revised Prenatal Distress Questionnaire (NuPDQ). The participants’ mean age was 27.2 (SD = 5.2) years, with a range between 18 and 45 years. No association was found between demographic variables and anxiety/depression or coping strategies. Family dysfunction was a positive determinant of depression (β = 0.345, p < .001) and anxiety (β = 0.199, p = .007). However, family dysfunction was negatively associated with coping planning (β = −0.192, p = .009) and spiritual coping (β = −0.154, p = .037). Our findings suggest that during prenatal care visits, healthcare providers should consider the negative impact of family dysfunction on the mental health of pregnant women.