Mental health problems are common in pregnancy, typically affecting between 10-25% of pregnant individuals. Elevated symptoms of depression and anxiety can negatively impact both the pregnant individual and developing fetus. The current COVID-19 pandemic is a unique stressor with potentially wide-ranging consequences for pregnancy and beyond. We assessed symptoms of anxiety and depression among pregnant individuals during the current COVID-19 pandemic and determined factors that were associated with psychological distress. 1987 pregnant participants were surveyed across Canada in April 2020. The assessment included questions about COVID-19-related stress and standardized measures of depression, anxiety, pregnancy-related anxiety, sleep and social support. We found substantially elevated psychological distress compared to similar pre-pandemic pregnancy cohorts, with 37% reporting clinically relevant symptoms of depression, 57% reporting clinically relevant symptoms of anxiety, and 68% reporting elevated pregnancy-related anxiety. Higher levels of social support and longer sleep duration were associated with lower psychological symptoms across domains. This study shows concerningly elevated levels of psychological distress among pregnant individuals during the COVID-19 pandemic, that may have long-term impacts on their children. Potential intervention targets are needed in addition to improving protective factors related to increased social support and sleep -- these should be urgently considered to mitigate long-term negative outcomes.