Background: The aim of this study was to explore the effects of distance yoga learning in improving depression and pregnancy stress in pregnant women during the pandemic. Methods: A preference-based quasi-experimental study design with an experimental group (n = 30) and a control group (n = 31) was used to test both self-reported depression and stress status. The experimental group received a 12-week pregnancy yoga program, including one weekly 60 min distance yoga class followed by two sessions of DVD yoga exercise at home, while the control group received only routine nursing care. Results: There were significant differences in the depression and pregnancy stress indices between the two groups. As the number of weeks of pregnancy increased, both pregnancy depression and stress tended to gradually increase (p < 0.001). However, the experimental group had less pregnancy depression than the control group (p < 0.001), while there was no significant difference between the two groups in stress (p = 0.970). Conclusions: The findings inform clinical practice regarding the use of alternative exercise options such as distance yoga classes for pregnant women’s mental health during a pandemic to reduce depression and pregnancy stress.