Objective To explore the relationship between stress perception, anxiety, and depression in early to mid-pregnancy, as well as their predictive effects on each other. Methods A prospective study was conducted with 114 pregnant women in early to mid-pregnancy who received prenatal examinations at Tongji Hospital, Tongji Medical College, Huazhong University of Science and Technology from January 2021 to December 2022. The Perceived Stress Scale (PSS), Beck Anxiety Inventory (BAI), and Beck Depression Inventory-II (BDI-II) were used to assess stress perception, anxiety, and depression, respectively, at baseline (T1) and 30 days later (T2). The PSS scores, BAI scores, BDI-II scores, and the occurrence rates of stress perception, anxiety, and depression were compared between T1 and T2. The correlations between PSS scores, BAI scores, and BDI-II scores in early to mid-pregnancy were analyzed. Structural equation models were constructed using Analysis of Moment Structure (AMOS) to examine the mutual predictive effects of PSS scores, BAI scores, and BDI-II scores through cross-lagged analysis. Results There were no significant differences in PSS scores, BAI scores, and BDI-II scores between T1 and T2 among pregnant women in early to mid-pregnancy (P＞0.05). The occurrence rates of stress perception, anxiety, and depression were 66.67%, 44.74%, and 26.32% at T1 and 71.93%, 49.57%, and 28.95% at T2, respectively, with no significant differences (P＞0.05). PSS scores, BAI scores, and BDI-II scores showed positive correlations, and the correlation coefficients were r=0.493 (P＜0.001) between PSS scores and BAI scores, r=0.832 (P＜0.001) between PSS scores and BDI-II scores, and r=0.574 (P＜0.001) between BAI scores and BDI-II scores. The structural equation model analysis revealed that stress perception had a mediating effect on depression (mediation effect size: 0.02), and depression had a mediating effect on anxiety (mediation effect size: 0.04) and stress perception (mediation effect size: 0.05), with significant mediating effects. The cross-lagged analysis showed that the PSS scores at T1 positively predicted the BAI scores and BDI-II scores at T2. Conclusion Pregnant women in early to mid-pregnancy experience varying degrees of stress perception, anxiety, and depression, and stress perception has a positive predictive effect on anxiety and depression