Pregnancy represents a psychologically and emotionally vulnerable period, and research indicates that pregnant women have a higher prevalence of symptoms of anxiety and depression, debunking the myth that hormonal changes associated with pregnancy protect the mother. In recent years, several researchers have focused on the study of prenatal anxiety/depression—emotional disorders manifested by mood lability and low interest in activities—with a high prevalence. The main objective of this research was to conduct an antenatal screening in a cohort of pregnant women hospitalized for delivery in order to assess the prevalence of anxiety and depression. The secondary objective was to identify the risk factors associated with depression and anxiety in women in the third trimester of pregnancy. We carried out a prospective study in which we evaluated 215 pregnant women in the third trimester of pregnancy hospitalized for childbirth at the Obstetrics and Gynecology Clinic of the Târgu-Mureș County Clinical Hospital. The research was carried out between December 2019 and December 2021. The results showed that age and the environment of origin are the strongest predictors of mental health during pregnancy (OR = 0.904, 95%CI: 0.826–0.991;p= 0.029). For women from urban areas, there is an increased probability of falling at a higher level on the dependent variable (moderate depression) (OR = 2.454, 95%CI: 1.086–5.545;p= 0.032). In terms of health behaviors, none of the variables were statistically significant predictors of the outcome variable. The study highlights the importance of monitoring mental health during pregnancy and identifying relevant risk factors to provide appropriate care to pregnant women and the need for interventions to support the mental health of pregnant women. Especially in Romania, where there is no antenatal or postnatal screening for depression or other mental health conditions, these results could be used to encourage the implementation of such screening programs and appropriate interventions.