Background Pregnancy and early motherhood are sensitive times where epidemic disease outbreaks can affect mental health negatively. Countries and health care systems handled the pandemic and lockdowns differently and knowledge about how the COVID-19 pandemic affected the mental well-being of pregnant women and new mothers is limited and points in different directions. Aim To investigate symptoms of anxiety and depression in a population of pregnant women and new mothers in various stages of infection pressure and lockdown during the first 15 months of the COVID-19 pandemic in Denmark. Methods The study population was nested an inception cohort of women recruited in their first trimester of pregnancy. Data about mental health of the woman were obtained in relation to pregnancy and child development (first trimester, 8 weeks postpartum and 5 months postpartum), and data were analysed cross-sectionally according to calendar time (periods defined by infection rate and lock-down during the COVID-19 pandemic). Results No differences in reported levels of depressive symptoms between the six examined time periods of the pandemic were observed. Specifically, symptoms remained unchanged after the first lock-down. No major changes in anxiety symptoms were observed in relation to increased infection pressure or lockdowns, but a small increase was observed during the second lockdown in women 8 weeks postpartum. Conclusion No clear change in mood among pregnant women was seen between during the stages of COVID-19 pandemic in Denmark.