The aim of the study was to examine parenting self-efficacy in relation to depressive and anxiety symptoms during pregnancy. Five hundred thirty-three first-time pregnant women completed questionnaires at 12, 22, and 32 weeks of pregnancy that measure parenting self-efficacy, anxiety, and depressive symptoms. Parenting self-efficacy increased slightly but significantly over the course of pregnancy. Higher levels of depressive symptoms as well as state and trait anxiety symptoms were related to lower expectations of parenting self-efficacy at all time points, but only anxiety symptoms uniquely predicted parenting self-efficacy. Higher levels of anxiety symptoms in the first trimester predicted less positive change in parenting self-efficacy over the course of pregnancy, but depressive symptoms did not when anxiety levels were taken into account. The findings highlight the role of antenatal anxiety symptoms as a predictor of suboptimal preparation for the parenting role in first-time-expecting mothers. Possible explanations and implications for clinical practice are briefly discussed. © 2013 Michigan Association for Infant Mental Health.