Background <p>Pregnancy increases vulnerability to mental health challenges. We investigated stage-specific associations of employment with maternal depression, anxiety, and stress, and whether household income moderates these relationships.</p> Methods <p>We analyzed data from the prospective Korean Pregnancy Outcome Study (<i>n</i> = 3,405). Employment and mental health outcomes—depression, anxiety, and stress—were assessed during the first, second, and third trimesters. Logistic regression calculated adjusted odds ratios (aORs), controlling for confounders including history of depression and physical health status to rigorously address the healthy worker effect.</p> Results <p>Employment was significantly associated with reduced depression at all visits (aORs 0.68–0.76) but showed no significant association with anxiety. Regarding stress, employed women experienced higher risks initially, but this difference attenuated by the third trimester. Women maintaining employment through the third trimester had a significantly lower risk of depression (aOR 0.64) compared to women without employment across all visits. Notably, maintaining employment only up to the first trimester showed comparable benefits. Subgroup analyses indicated a stronger association between employment and depression among high-income women, showing a borderline significant interaction in the first trimester.</p> Conclusions <p>Employment was consistently associated with reduced depression, but not anxiety, independent of physical health. While employed women initially faced higher stress, this subsided over time. Psychosocial benefits of the worker role may buffer against depression, particularly for high-income women. Maintaining employment, at least through the first trimester, may offer meaningful mental health benefits. However, causality cannot be inferred.</p>