Depression and anxiety during pregnancy can have a host of negative effects on mothers and their infants, such as premature delivery and increased risk for postpartum depression. Few studies have examined whether levels of the sex hormones progesterone and estradiol, which rise dramatically over the course of pregnancy, are associated with depression and anxiety. This study examined whether higher salivary progesterone and estradiol levels were associated with self-reported depression and anxiety scores among a sample of 128 low-income pregnant women, and whether these relationships were moderated by social support. The results showed that only social support levels had significant negative associations with both depression and anxiety levels. Sex hormones were not significantly associated with depression and anxiety, and social support was not a significant moderator in these relationships. Future studies should continue to address the dearth of research on assessing the roles of sex hormones in relation to mental health during pregnancy.