The aim of this study was to assess the prevalence of common mental disorders and the association with self-esteem and other factors in pregnant women. A nested cross-sectional study was performed in a cohort of pregnant women treated in the public health system in Pelotas, Rio Grande do Sul State, Brazil. The Self-Reporting Questionnaire (SRQ-20) was used to screen for common mental disorders and the Rosenberg's Self-Esteem Scale for self-esteem. The sample consisted of 1,267 pregnant women with a mean age of 25 years (SD = 6.53). Mean self-esteem was 9.3 points (SD = 4.76), and prevalence of common mental disorders was 41.4%. Lower self-esteem was associated with higher odds of common mental disorders (p < 0.001). There was a significant association between higher prevalence of common mental disorders and low self-esteem.