The purposes of this study were to investigate the trajectory groups of depressive symptoms and anxiety in women during pregnancy and to identify the factors associated with those groups. Participants were recruited from the outpatient clinic of a women’s health hospital in Seoul, Korea. Pregnant women (n = 136) completed a survey questionnaire that included questions on depressive symptoms, anxiety, and pregnancy stress; additionally, their saliva was tested for cortisol hormone levels three times during their pregnancies. The group-based trajectory modeling approach was used to identify latent trajectory groups. Ordinal logistic regressions were used to explore the association of latent trajectory groups with sociodemographic factors and pregnancy stress. Three trajectory groups of depressive symptoms were identified: low-stable (70%), moderate-stable (25%), and increased (5%). Four trajectory groups of anxiety were identified: very low-stable (10%), low-stable (67%), moderate-stable (18%), and high-stable (5%). The only factor associated with both the depressive symptoms and anxiety trajectory groups was pregnancy stress (p < 0.001). Most participants showed stable emotional status; however, some participants experienced higher levels of depressive symptoms and anxiety related to higher pregnancy stress. These pregnant women may need additional care from healthcare providers to promote their wellbeing during pregnancy.