Most Thai women continue to work throughout their pregnancy; however, little is known about job strain and its relation to psychological distress. This study aimed to examine: (1) the direct effects of job strain, perceived workplace support, perceived family support, and coping strategies on psychological distress and (2) the moderating effect of perceived workplace support, perceived family support, and coping strategies on the relationship between job strain and psychological distress. Lazarus and Folkman's transactional model of stress and coping guided this cross-sectional study. Full-time employed pregnant women (N = 300) were recruited from three antenatal clinics in Thailand. Thai versions of the following instruments were used: the State-Anxiety Inventory and Center for Epidemiological Studies-Depression Scale (psychological distress), the Job Content Questionnaire (job strain and perceived workplace support), the Medical Outcome Study Social Support Survey (perceived family support), and the Ways of Coping Checklist-Revised (coping strategies). Job strain with other predictors explained 54% of the variance in psychological distress. In the separate hierarchical multiple linear regression models, two types of coping strategies, seeking social support and wishful thinking, moderated the effects of job strain on psychological distress. Perceived family support had a direct effect in reducing psychological distress. Job strain is a significant contributor to psychological distress. The average levels of seeking social support and wishful thinking were most beneficial in moderating the negative impact of job strain on psychological distress. Since perceived workplace and family support did not have moderating effects, stress management programs for decreasing the levels of job strain should be developed.