Purpose Coronavirus disease 2019 (COVID-19) pandemic is the significant public health crisis of the 21st century that has disrupted personal, local, and international territorial relationships. Earlier studies have shown that people with HIV were at least twice at risk of dying from COVID-19 than the general population. There are also deep concerns about the indirect impact of COVID-19 on women within the reproductive age group in Sub-Saharan Africa who were already struggling to access reproductive healthcare services. In addition, pregnant HIV-positive women have an increased rate of anxiety and depression. This study, therefore, examined depression and anxiety disorders in pregnant HIV-positive women in response to the COVID-19 pandemic. Patients and Methods This cross-sectional study used a structured questionnaire containing sociodemographic information, Patient Health Questionnaire-9 (PHQ-9), and General Anxiety Disorder-7 (GAD-7) assessment tools. Data obtained were analyzed using Statistical Package for Social Science version 26. Results Ninety-nine (99) representing 78% of 127 pregnant HIV-positive women enrolled in the PMTCT program were eligible for this study. This number matched 99 randomly selected pregnant HIV-negative in the study areas as controls. Major depressive disorder (MDD) and severe anxiety disorder were significantly higher among the HIV-positive group than in the HIV-negative group (PHQ-9 Mean ± SD 8.0 ± 5.4 vs 2.3 ± 2.9; p = 0.000) and (GAD-7 Mean ± SD 5.9 ± 4.6 vs 1.2 ± 2.2; p = 0.000). Conclusion Given the high prevalence of major depressive disorder and severe anxiety disorder among pregnant HIV-positive women, mental health care should be incorporated into the prevention with positive interventions and strategies to reduce the indirect consequences of the COVID-19 pandemic.