Background: Most investigations of nurses’ and midwives’ psychological wellbeing during the COVID-19 pandemic have been conducted in a single setting. Aim: To assess and compare the psychological wellbeing of nurses and midwives in Australia and Denmark during the COVID-19 pandemic. Methods: Nurses and midwives employed at four metropolitan health services in Australia and one in Denmark completed an anonymous online survey, which assessed depression, anxiety, and stress symptoms (The Depression, Anxiety and Stress Scale - 21 Items (DASS-21)), and sociodemographic and employment factors. Findings: Completed surveys were received from 3001 nurses and midwives (1611 Australian and 1390 Danish). Overall, approximately one in seven of the nurses and midwives surveyed reported moderate to extremely severe levels of depression (n = 399, 13.5%), anxiety (n = 381, 12.9%) and stress (n = 394, 13.4%). Australian nurses’ and midwives’ scores on all DASS-21 subscales were significantly higher (representing higher levels of depression, anxiety and stress) than the scores for the Danish nurses and midwives. Fewer years of clinical experience, living in Australia and being employed on a part-time basis were significantly associated with higher levels of psychological distress. Discussion: A considerable proportion of nurses and midwives experienced distress during the COVID-19 pandemic; however, the proportion and severity varied by country. Australian nurses and midwives experienced higher levels of distress than their Danish colleagues. Conclusion: Nurses and midwives working in countries with relatively low numbers of COVID-19 cases and deaths are also likely to experience psychological distress. Nurses and midwives would benefit from targeted country-specific support and wellbeing initiatives.