question: BACKGROUND: COVID-19 is an emerging infectious disease that has created health care challenges worldwide. Pregnant women are particularly affected by this disease. OBJECTIVE: The 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). METHODS: A total of 4087 pregnant women from China completed a cross-sectional web-based survey between March 3 and 10, 2020. RESULTS: The 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. CONCLUSIONS: Chinese 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.