Increased stress has likely contributed to the observed high prevalence of depression and anxiety in pregnant individuals during the COVID-19 pandemic. The objective of this study was to assess the prevalence of coping strategies for COVID-19 pandemic-related stress and associations of these coping strategies with depression and anxiety symptoms during pregnancy. 8320 members of Kaiser Permanente Northern California who were pregnant between June 22, 2020 and May 10, 2021 completed an online survey including questions about coping strategies since the start of the COVID-19 pandemic and current depression and anxiety symptoms. We used weighted regression to estimate prevalence ratios for moderate/severe depression and anxiety symptom severity associated with coping strategies. The most common coping strategies for COVID-19 pandemic-related stress were talking with friends and family (77%), outdoor physical activity (54%), and increasing screen time activities (52%). Exercising using online programs or videos, outdoor physical activity, talking with friends and family, and engaging in more family activities were associated with 29% to 38% lower prevalence of moderate/severe depression symptom severity and 16% to 34% lower prevalence of moderate/severe anxiety symptom severity. We are unable to rule out reverse temporality as an explanation for the observed results because of the cross-sectional design; depression or anxiety symptom severity may influence use of specific coping strategies. Our results suggest that physical activity and connecting with others are coping strategies for COVID-19 pandemic-related stress that may be associated with better mental health in pregnant individuals.