Substantial evidence links antenatal depression, anxiety and stress with negative effects on foetal development, resulting in enduring problems in child development. Despite this, there is a paucity of research on intervention programmes designed to address depression and anxiety, and none that include infant outcomes. We aimed to evaluate the efficacy of a brief treatment for maternal depression and anxiety in pregnancy in a sample of women with a diagnosed depressive disorder. We developed a cognitive behavioural therapy treatment for antenatal depression and anxiety and evaluated it in a feasibility trial. This was followed by a pilot randomised controlled trial (RCT) which collected data on the efficacy of the brief intervention and follow-up data on infants. The feasibility study (n = 25) yielded promising results for adherence, acceptability and improvements in depression and anxiety (Beck Depression Inventory and Beck Anxiety Inventory). The RCT (n = 54) again showed excellent adherence and acceptability and supported the efficacy of the treatment. Strong reductions in anxiety were observed during pregnancy, and improvements in depression were maintained at 9 months representing a moderately large effect size. Nine-month infant outcomes showed several medium to large effects favouring the intervention in domains including problem solving, self-regulation and stress reactivity, which were independent of maternal postnatal mood. Treating severe depression and anxiety during pregnancy with a brief cognitive behavioural therapy (CBT) intervention appears feasible and worthwhile. To reliably detect clinically meaningful effects on infant outcomes, larger RCTs are likely to be required.