Purpose: Uncertainty and restrictions on daily life have increased fear, stress, and depression during the coronavirus disease 2019 (COVID-19) pandemic. Depression is the most common mental health problem in pregnant women. The purpose of this study was to evaluate the levels of fear and stress related to COVID-19 experienced by pregnant women, as well as their levels of depression, and to examine the factors associated with depression during pregnancy. Methods: This was a cross-sectional, correlational study conducted among 153 pregnant women who visited a maternity hospital in Busan, South Korea. A self-reported questionnaire was used for data collection from December 18, 2021 to March 8, 2022. Data were analyzed using descriptive statistics, the independent t-test, one-way analysis of variance, Pearson correlation coefficients, and multiple regression. Results: Pregnant women experienced a moderate level of fear related to COVID-19, with an average score of 21.55±4.90. The average score for depression during pregnancy was 14.86±11.10, with 50.3% of the participants experiencing depression (≥13). The factors associated with depression during pregnancy were fear of COVID-19, contact with a confirmed case of COVID-19, being in the third trimester of pregnancy, high stress levels due to difficulties experienced from social distancing measures, and unintended pregnancy. These five statistically significant factors explained 35.0% of variance in depression during pregnancy. Conclusion: Considering the prevalence of depression in pregnant women during the COVID-19 pandemic, it is necessary to develop interventions to reduce anxiety by providing correct information and alleviating the stress of social distancing.