Background: Although lockdown and mandatory quarantine measures have played crucial roles in the sharp decrease of the number of newly confirmed/suspected COVID-19 cases, concerns have been raised over the threat that these measures pose to mental health, especially the mental health of vulnerable groups, including pregnant women. Few empirical studies have assessed whether and how these control measures may affect mental health, and no study has investigated the prevalence and impacts of the use of eHealth resources among pregnant women during the COVID-19 outbreak. Objective: This study investigated (1) the effects of lockdown and mandatory quarantine on mental health problems (ie, anxiety and depressive symptoms), (2) the potential mediation effects of perceived social support and maladaptive cognition, and (3) the moderation effects of eHealth-related factors (ie, using social media to obtain health information and using prenatal care services during the COVID-19 pandemic) on pregnant women in China. Methods: An online cross-sectional survey was conducted among 19,515 pregnant women from all 34 Chinese provincial-level administrative regions from February 25 to March 10, 2020. Results: Of the 19,515 participants, 12,209 (62.6%) were subjected to lockdown in their areas of residence, 737 (3.8%) were subjected to mandatory quarantine, 8712 (44.6%) had probable mild to severe depression, 5696 (29.2%) had probable mild to severe anxiety, and 1442 (7.4%) had suicidal ideations. Only 640 (3.3%) participants reported that they used online prenatal care services during the outbreak. Significant sociodemographic/maternal factors of anxiety/depressive symptoms included age, education, occupation, the area of residence, gestational duration, the number of children born, complication during pregnancy, the means of using prenatal care services, and social media use for obtaining health information. Multiple indicators multiple causes modeling (?2 14=495.21; P<.05; comparative fit index=.99; nonnormed fit index=.98; root mean square error of approximation=.04, 90% CI 0.038-0.045) showed that quarantine was directly and indirectly strongly associated with poor mental health through decreased perceived social support and increased maladaptive cognition (B=.04; ?=.02, 95% CI 0.01-0.02; P=.001), while lockdown was indirectly associated with mental health through increased social support and maladaptive cognition among pregnant women (B=.03; ?=.03, 95% CI 0.02-0.03; P=.001). Multigroup analyses revealed that the use of social media for obtaining health information and the means of using prenatal care services were significant moderators of the model paths. Conclusions: Our findings provide epidemiological evidence for the importance of integrating mental health care and eHealth into the planning and implementation of control measure policies. The observed social and cognitive mechanisms and moderators in this study are modifiable, and they can inform the design of evidence-based mental health promotion among pregnant women.