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Background Prevention, identification, and treatment of maternal psychopathology may be favourable for both mother and child. Both a low socio-economic position (SEP) and adverse life events are considered risk factors for symptoms of anxiety and depression during pregnancy. It is unknown whether the effect of adverse life events is modified by SEP. Objective To investigate the relationship between symptoms of anxiety and depression in pregnancy and adverse life events, and how this relationship is modified by SEP. Methods The population based Pregnancy, Anxiety and Depression (PAD) Study is a prospective study in Dutch obstetric care. We assessed symptoms of anxiety and depression in pregnant women, SEP (educational level of mother and partner, work status of mother and partner and family income), and the number of adverse life events, categorised by period in life. The association of the number of adverse life events with anxiety and depression, as well as effect modification by SEP was tested using linear regression analyses. Results We included 4272 participants. The number of life events and low SEP were independantly associated with symptoms of both anxiety and depression during pregnancy. Additionally, we found that aspects of SEP: low maternal educational level, maternal unemployment, and low family income may increase the adverse effect of adverse life events. Conclusion A low SEP increases the adverse impact of adverse life events. In an early screening for anxiety and depression, the number of adverse life events and more important the above-mentioned aspects of SEP should play a key role.