Anxiety and depression during pregnancy increase the risk for an adverse pregnancy outcome and neurodevelopmental problems in the child. The aim of this study was to investigate anxiety and depression in women with a medical disorder of pregnancy compared with control antenatal women, and any association with saliva cortisol. One hundred and twenty pregnant women (60 with a known medical disorder and 60 without, mean gestation 32 weeks) completed five self-rating questionnaires (Spielberger State and Trait Anxiety, Edinburgh Postnatal Depression Scale (EPDS), the Adult Wellbeing Scale and a Life Events Questionnaire). Diurnal saliva samples were obtained from 39 women with a medical disorder and 50 controls for cortisol analysis. The medical disorders group were significantly more anxious and depressed than the controls (mean (SD)) state anxiety 40.0 (11.5) vs. 31.6 (8.8), p = 0.00; trait anxiety 39.4 (9.5) vs. 35.2 (9.2), p = 0.02; adult wellbeing 15.9 (7.5) vs. 12.3 (7.5) p = 0.01; and EPDS 9.6 (5.4) vs. 5.9 (4.8), p = 0.00). There was no difference in the life events scores between the groups. The subgroup of women suffering from hyperemesis gravidarum had particularly high EPDS scores, (16.2 (3), n = 5, p = 0.00) compared with controls. There were no significant differences in the cortisol levels between the groups. Some women with a medical disorder during pregnancy showed considerably elevated levels of anxiety and depression. Health professionals need to be aware that these women need extra psychological support.