Emerging evidence shows that compared to pre-pandemic norms pregnant women report significant increases in clinical levels of depressive and anxiety symptoms during COVID-19. This pre-registered study examined cognitive and social vulnerability factors for poor mental health in pregnancy during COVID-19. Understanding vulnerability profiles is key to identifying women at risk for deteriorating peripartum mental health. N = 742 pregnant women and N = 742 age and country-matched controls from the COVID-19 Risks Across the Lifespan Study were included. Using a case-match control design allowed us to explore whether the cognitive vulnerability profiles would differ between pregnant and non-pregnant women. The findings showed that COVID-19-related stress was associated with heightened levels of depression and anxiety during pregnancy. Its impact was greatest in women with cognitive (i.e., higher intolerance of uncertainty and tendency to worry) and social (i.e., higher level of self-reported loneliness) vulnerabilities. Importantly, our data show that the mental health impacts of the pandemic were greater in pregnant women compared to women who were not pregnant, especially those with cognitive and social vulnerabilities. The results highlight the urgent need to prioritize mental health care for pregnant women to mitigate the impact of COVID-19-related stress on women's postpartum mental health and their infants' well-being.