To investigate the association of air pollution with maternal stress during pregnancy, we enrolled 1,931 women during mid-to-late pregnancy in Shanghai in 2010. The "Life-Event Scale for Pregnant Women" and "Symptom-Checklist-90-Revised Scale" (SCL-90-R) were used to evaluate life event stress and emotional stress, respectively. Air pollution data were collected for each district where pregnant women lived during pregnancy. We associated ambient air pollution with stress scores using multivariable logistic regression models. After adjusting for relevant covariates, an interquartile-range (IQR) increase in sulphur-dioxide (SO2) (OR = 1.30, 95% CI: 1.11-1.52) and particulate-matter with an aerodynamic-diameter <10 μm (PM10) (OR = 1.16, 95% CI: 1.02-1.34) concentrations on the recruitment day, and in the 5-day moving average concentrations of nitrogen-dioxide (NO2) (OR = 1.34, 95% CI: 1.05-1.70) were associated with high Global-Severity-Indices (P75-P100) of the SCL-90-R. These associations were stronger among women bearing high levels (P25-P100) of air pollutants than among women experiencing low levels (P1-P25) of pollutants. The stronger associations and higher levels of pollutants were observed in the cool season than in the warm season. SO2 increases on the recruitment day were also associated with an increased risk of high depression scores (P75-P100). Our findings supported a dose-dependent association between air pollution and emotional stress during pregnancy.