Psychological science on pregnancy is advancing rapidly. A major focus concerns stress processes in pregnancy and effects on preterm birth and low birth weight. The current evidence points to pregnancy anxiety as a key risk factor in the etiology of preterm birth, and chronic stress and depression in the etiology of low birth weight. Key mediating processes to which these effects are attributed, that is neuroendocrine, inflammatory, and behavioral mechanisms, are examined briefly and research on coping with stress in pregnancy is examined. Evidence regarding social support and birth weight is also reviewed with attention to research gaps regarding mechanisms, partner relationships, and cultural influences. The neurodevelopmental consequences of prenatal stress are highlighted, and resilience resources among pregnant women are conceptualized. Finally, a multilevel theoretical approach for the study of pregnancy anxiety and preterm birth is presented to stimulate future research.