Previous research suggests that female sex hormones can increase the sensitivity of women's emotion processing systems. The largest rises in sex hormone levels in a woman's life are from early to late pregnancy. The current study, therefore, investigated whether changes in emotion processing are seen across pregnancy. Hypervigilant emotion processing has been implicated in the aetiology of anxiety. Therefore enhanced emotion processing across pregnancy has implications for women's vulnerability to anxiety. Ability to encode facial expressions of emotion was assessed in 101 women during early pregnancy and again in 76 of these women during late pregnancy. Symptoms of anxiety were measured using a clinical interview (The CIS-R). Consistent with previous research, the presence of anxiety symptoms was associated with greater accuracy to encode faces signalling threat (fearful and angry faces). We found that women had higher accuracy scores to encode emotional expressions signalling threat or harm (fearful, angry and disgusted faces) but also a more general negative emotion (sadness) during late, compared with early, pregnancy. Enhanced ability to encode emotional faces during late pregnancy may be an evolutionary adaption to prepare women for the protective and nurturing demands of motherhood by increasing their general emotional sensitivity and their vigilance towards emotional signals of threat, aggression and contagion. However, the results also suggest that, during late pregnancy, women's emotion processing style is similar to that seen in anxiety. The results have implications for our understanding of normal pregnant women's processing of emotional cues and their vulnerability to symptoms of anxiety.