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Physical neighborhood attributes such as greenness, walkability and environmental pollution may have an influence on people's behavior and health. It has been claimed that part of such effects may come from the promotion of physical activity and the strengthening of social cohesion. In this study, we recruited samples of pregnant women in two Spanish cities (Donostia-San Sebastián, 440 participants and Barcelona, 360 participants) who filled in a questionnaire and wore an accelerometer for 1 week during the first trimester of pregnancy. The influence of perceived residential greenness, walkability and environmental pollution on mental health (GHQ-12) was tested in two structural equation models that included light physical activity, moderate-to-vigorous physical activity and social cohesion as mediators. Two solutions showing excellent and good fits (Donostia-San Sebastián: X 2 (3) = 2.56, p = .465, CFI = 1, RMSEA < 0.001; Barcelona: X 2 (6) = 4.86, p = .566, CFI = 1, RMSEA = 0.048) consistently showed that neighborhood attributes promote mental health through social cohesion in the two cities. Stratified analyses revealed that the social cohesion-mental health effect was only statistically significant for low and medium socioeconomic status groups in the Donostia-San Sebastián sample. Pathways through physical activity were not confirmed., (Copyright © 2021 Elsevier Inc. All rights reserved.)