Objective To explore factors associated with depression and COVID-19 related fear among pregnant women and new mothers. Design A cross-sectional survey was conducted in China from July 2020 to July 2021. Sample A total of 3027 pregnant and new mothers were recruited. Measurement Sociodemographic characteristics and the perceptions of the COVID-19 pandemic were collected. The Patient Health Questionnaire-9 (PHQ-9) and the Fear Scale was used to assess the depressive and fear level towards the COVID-19 pandemic, respectively. Results Approximately 17.2% of the participants had depression (PHQ-9 ≥10). In Hong Kong, participants who perceived that they have increased knowledge to prevent infection were less likely to have depression (adjusted odds ratio [aOR] = 0.83; 95% confidence interval [CI] = 0.74–0.94). There was no association between perceived severity if infected and severity of spread and the depression level in our sample. An inverse relationship was found between the COVID-19 related fear level and perceived knowledge to prevent infection (Beta-coefficient [β] = -0.20; 95% CI = -0.38 to -0.02). Conclusion Public health nurses need to promote accurate and up to date COVID-19 related information at clinical and community settings and implement effective screening for depression and fear symptoms to identify these high-risk groups to improve women's psychological well-being.