Background: Women are at higher risk for depression progression especially during pregnancy. So, we aimed to investigate depression, anxiety, and stress level of pregnant mothers in the initial stage of the COVID-19 infection in Southwest of Iran. Methods: This cross-sectional study conducted during March and April, 2020 in Shiraz, Iran. Pregnant mothers registered in maternity clinics affiliated to Shiraz University of Medical Sciences were included. An online self-administered checklist was used. It included socio-demographic, obstetric and medical history, and the short form of Depression Anxiety Stress Scales (DASS-21) for evaluation of depression, anxiety, and stress. P-value < 0.05 was considered significant.Results: 540 pregnant mothers answered the questionnaire. 83.5% had no comorbidity. Abnormal depression score was significantly higher in those who did not have any insurance (OR= 2.5) and in those with poor self-rated health (SRH) (OR= 27.8). Pregnant mothers with lower SRH and two or more comorbidities had higher chance of having abnormal level of anxiety subscale; 6.9, 3.7 times, retrospectively. Conclusion: The study revealed that that abnormal level of depression was associated with SRH and medical insurance status. Moreover, the number of comorbidities and poor SRH were significantly increased the chance of achieving abnormal anxiety level in pregnant mothers during the COVID-19 pandemic.