The objective of this study is to evaluate the association between the consumption of ultra–processed foods (UPF) and the mental health of pregnant women from the South of Brazil. This is a cross-sectional study carried out in Criciúma, Brazil, through face-to-face interviews, from April to December 2022. Pregnant women aged 18 or older who underwent prenatal care in the 48 Basic Health Units of the municipality and who were in their third trimester of pregnancy were included. High consumption of UPF was considered as 6 or more items or subgroups of UPF consumed on the day before the interview, using the Nova-UPF screener. The mental health variables were depressive symptoms, stress, sadness, and anxiety. Crude and adjusted analyses were conducted using the Fisher’s exact test and the Poisson regression with robust variance. In total, 428 pregnant women were studied; most of them were aged between 20 and 25 years and were white. Pregnant women who presented high consumption of UPF were 1.42-fold (95%CI 1.06;1.92) more likely to experience anxiety and presented a prevalence 56% (95%CI 1.18;2.07) higher of stress when compared to those who did not present high consumption of UPF. The prevalence of depressive symptoms and feelings of sadness was 1.31-fold (95%CI 1.08;1.60) and 3.41-fold (95%CI 1.77;6.58) higher among those with high consumption of UPF, respectively. The results suggest that diet quality is associated with the mental health of pregnant women. Promoting joint actions focused on food and nutritional education for pregnant women, as well as mental health, is necessary.