Background: Mental health problems are prevalent among pregnant women, and it is expected that their mental health will worsen during the COVID-19 pandemic. Furthermore, the underutilization of mental health services among pregnant women has been widely documented. Objective: We aimed to identify factors that are associated with pregnant women’s intentions to seek mental health services. We specifically assessed pregnant women who were at risk of mental health problems in mainland China. Methods: A web-based survey was conducted from February to March, 2020 among 19,515 pregnant women who were recruited from maternal health care centers across various regions of China. A subsample of 6248 pregnant women with probable depression (ie, those with a score of ≥10 on the 9-item Patient Health Questionnaire) or anxiety (ie, those with a score of ≥5 on the 7-item General Anxiety Disorder Scale) was included in our analysis. Results: More than half (3292/6248, 52.7%) of the participants reported that they did not need mental health services. Furthermore, 28.3% (1770/6248) of participants felt that they needed mental health services, but had no intentions of seeking help, and only 19% (1186/6248) felt that they needed mental health services and had intentions of seek help. The results from our multivariate logistic regression analysis showed that age, education level, and gestational age were factors of not seeking help. However, COVID-19–related lockdowns in participants’ cities of residence, social support during the COVID-19 pandemic, and trust in health care providers were protective factors of participants’ intentions to seek help from mental health services. Conclusions: Interventions that promote seeking help for mental health problems among pregnant women should also promote social support from health care providers and trust between pregnant women and their care providers.