The aim of our study was to evaluate the mental health of pregnant individuals during the early COVID-19 pandemic and the potential factors associated. A Swiss online survey was proposed to individuals who gave birth during the pandemic period from March 2020. The Edinburgh Postnatal Depression Scale (EPDS), Generalized Anxiety Disorder 7 questions (GAD-7), and Impact Event Scale-Revised (IES-R) were evaluated and used to defined mental health impairment as a composite outcome. From October, 2020 to February, 2021, 736 participants responded. The anxiety GAD-7 score was moderate in 9.6% and severe in 2.0%. The EPDS was moderate in 21.5% and severe in 32.9%. The IES-R was moderate in 10.3% and severe in 3.9%. Mental health impairment was reported in 37.0%. The association between the risk of mental health impairment and foreign nationality was significant (OR = 1.48; 95%CI [1.06-2.05]) as well as fetal and pregnancy worries because of coronavirus (OR = 1.46; 95% CI [1.08-1.98]) and 1.65; 95% CI [1.22-2.24]). Adjusted ORs were significant for foreign nationality (aOR = 1.51; 95%CI [1.07-2.13]) and pregnancy worries because of coronavirus (aOR = 1.62; 95%CI [1.10-2.40]). Pregnant people and especially foreign national have a high risk of mental health impairment during the pandemic.