Objective <p>The current study aims to explore the relationship between Family function and depression, examining the mediation and moderation effects of pregnancy-related anxiety (PRA) and sleep latency, respectively.</p> Method <p>A cross-sectional survey was conducted among pregnant women in the Ningxia Hui Autonomous Region between February 2022 and December 2024, obtaining 7622 valid questionnaires. Model 4 and Model 7 in PROCESS were used to analyse the mediating effect of pregnancy-related anxiety and the moderating effect of sleep latency. A bootstrap method was conducted to test the mediating and moderating effects.</p> Results <p>After adjusting for covariates, the mediating effect of PRA explained 18.68% (95% CI: -0.094, -0.06) of the association between Family function and prenatal depression (EPD). The results indicate that the interaction term (Family function * sleep latency) has a negative effect on PRA (<i>β</i> = -0.096, 95% CI: -0.160, -0.032). This implies that the protective effect of good Family function in reducing PRA is weakened as sleep latency increases. Further analysis by different pregnancy periods revealed that this regulatory effect was only statistically significant in the third trimester (<i>β</i> = -0.127, 95% CI: -0.226, -0.028).</p> Conclusion <p>This paper proved that the Family function negatively predicted depression, and PRA served as a mediator between Family function and depression during pregnancy. Besides, the protective role of sleep quality on individuals’ mental health was identified.</p> Clinical trial number <p>Not applicable.</p>