Pregnancy is a life process that brings about a series of associated changes, both physical and psychological, in women. The psychopathological changes occurring in pregnant women due to the simple fact of this new vital stage are unknown. Therefore, the objective of this study was to compare the psychopathological symptoms present during pregnancy with those present in non-pregnant women, as well as the perceived stress and hair cortisol levels. For this, a group of non-pregnant women (n = 171) were compared with pregnant women who were in the first trimester (n = 124), second trimester (n = 200) and third trimester (n = 190). Moreover, 77 women were followed up to verify their psychopathological course of pregnancy. Differences were found between pregnant and non-pregnant women relating to a wide range of psychopathological symptoms, perceived stress and hair cortisol levels. The symptoms were greater in the group of pregnant women. By studying different types of psychopathological symptoms associated with pregnancy, it is possible to assign psychological interventions to given characteristics of pregnant women. In addition, we can broaden our knowledge about the psychological aspects of pregnancy and the changes associated with it.