Depression and anxiety are common during pregnancy, but little is known about the influence of these disorders on gestational weight gain (GWG). Data from a prospective cohort of pregnant women followed in a public healthcare center in Rio de Janeiro, Brazil, were used to evaluate the association of depression, anxiety, and suicide risk with GWG. GWG was evaluated at 5-13, 20-26, 30-36, and 37-42 weeks, and GWG adequacy was determined. Statistical analyses included linear mixed-effect models and Poisson regression. We evaluated 206 women, in which 15% (n = 31) presented major depressive disorder, 19.4% (n = 34) suicide risk and 10% (n = 21) generalized anxiety disorder at baseline. Women with depression at the first trimester, persistent depressive symptoms, and anxiety symptoms at the second trimester presented significantly lower rates of GWG per week compared to those without depression or anxiety, respectively. Persistent depressive symptoms represented a 2.40 (95% CI 1.20; 4.81; p = 0.013) increase in the risk of insufficient GWG. There was no significant association between generalized anxiety disorder or suicide risk with GWG. The presence of depression, depressive symptoms, and anxiety during pregnancy were associated with lower GWG rates. Persistent depressive symptoms during pregnancy were directly associated with insufficient GWG.