Objectives: This study aimed to investigate associations of physical activity (PA) and sedentary behavior (SB) with depression and anxiety symptoms during pregnancy among Chinese, Malay, and Indian women. Methods: Women answered PA and SB (sitting time and television time) interview questions and self-completed the Edinburgh Postnatal Depression Scale (EPDS) and State-Trait Anxiety Inventory (STAI) questionnaires, at week 26–28 gestation. Sufficient levels of PA (≥600MET-minutes/week) and higher sitting time (≥7ï¿½h/day) were determined. Associations of PA and SB with probable antenatal depression (EPDS-score ≥15), higher state anxiety (score ≥42), and higher trait anxiety (score ≥43) were determined by logistic regression analysis. Results: Among the 1144 pregnant women included in the study, 7.3, 22.5, and 23.6ï¿½% had probable antenatal depression, higher state anxiety, and higher trait anxiety symptoms, respectively. In the adjusted models, women with sufficient level of PA were less likely to have probable antenatal depression (OR 0.54, 95ï¿½% CI 0.31–0.94, p = 0.030) and higher trait anxiety symptoms (OR 0.68, 95ï¿½% CI 0.48–0.94, p = 0.022). PA was not associated with state anxiety symptoms. SB was not associated with any of the investigated outcomes. Conclusions: Sufficient PA was associated with a reduced likelihood of probable antenatal depression and trait anxiety symptoms. Further investigation of these findings is warranted to determine cause-effect relationships and identify potential preventive strategies.