The diagnosis of HIV in a pregnant women or pregnancy in an HIV-positive woman can be associated with an affective disorder, caring for which can present a major challenge for physicians and health care workers. The associated somatic symptoms can cause serious morbidity. This study aims to explore the mental health of pregnant HIV-infected women. The study took place at the University Teaching Hospital in Lusaka, Zambia and at satellite clinics. Study participants were either pregnant women who were diagnosed with HIV during the course of their pregnancy, or women who knew their HIV-positive status prior to becoming pregnant. A questionnaire was used to assess the psychological state of the women. The majority of women (85%) showed major depressive episodes and had significant suicidal thoughts. About 60% of the women whose HIV was diagnosed during their pregnancy showed signs of somatic illness. Those who knew their HIV status before becoming pregnant did not show severe depressive episodes, but showed anxiety about the HIV status of their babies. This suggests that women who discover their HIV status during the course of their pregnancy are more liable to develop major depressive illness and somatic disorders. Physicians dealing with these women need to be cognisant of the strain HIV can add to pregnancy and of the psychological and psychiatric support they may require.