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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. [ABSTRACT FROM AUTHOR]