BackgroundCOVID-19 is an emerging infectious disease that has created health care challenges worldwide. Pregnant women are particularly affected by this disease.ObjectiveThe aims of this study are to assess the levels of perceived threat (susceptibility, severity, impact), negative emotions (fear, worry), and self-efficacy of pregnant women in China related to COVID-19 and to examine their associations with mental health (depression and anxiety) and personal protective behavior (wearing a face mask).MethodsA total of 4087 pregnant women from China completed a cross-sectional web-based survey between March 3 and 10, 2020.ResultsThe prevalence of probable depression and anxiety was 48.7% (1989/4087) and 33.0% (1347/4087), respectively; 23.8% participants (974/4087) reported always wearing a face mask when going out. Of the 4087 participants, 32.1% (1313) and 36.4% (1490) perceived themselves or their family members to be susceptible to COVID-19 infection, respectively; 3216-3518 (78.7%-86.1%) agreed the disease would have various severe consequences. Additionally, 2275 of the 4087 participants (55.7%) showed self-efficacy in protecting themselves from contracting COVID-19, and 2232 (54.6%) showed efficacy in protecting their family members; 1303 (31.9%) reported a high level of fear of the disease, and 2780-3056 (68.0%-74.8%) expressed worry about various aspects of COVID-19. The results of the multivariate multinominal logistic regression analyses showed that perceived severity, perceived impact, fear, and worry were risk factors for probable depression and anxiety, while self-efficacy was a protective factor. The results of the multivariate logistic regression analysis showed that perceived susceptibility was associated with always wearing a face mask.ConclusionsChinese pregnant women showed high levels of mental distress but low levels of personal protective behavior during the COVID-19 pandemic. Interventions are needed to promote the mental health and health behavior of pregnant women during the pandemic.