We aimed to investigate the coping styles of Chinese pregnant women, identify factors associated with coping and further explore the effect of coping during pregnancy on postpartum depression. A longitudinal study was performed from early pregnancy to six-week postpartum. A total of 1126 women were recruited by convenience sampling and participants who completed eight questionnaires at four time points were included (three self-developed questionnaires, Coping Style Questionnaire, Generalized Anxiety Disorder-7, Brief Resilience Scale, Rosenberg Self-esteem Scale, Edinburgh Postnatal Depression Scale) (n = 615). Linear regression analyses were used to identify the possible factors for coping and their association with postpartum depression. The mean scores of positive coping and negative coping were 2.03 and 1.21, respectively. Women with a higher educational level scored higher on both positive and negative coping in pregnancy. Resilience was associated with both positive and negative coping, while self-esteem only related to positive coping (p < 0.05). Postpartum depression was associated with both positive and negative coping (p < 0.05). The women in our study reported using positive coping styles more than negative coping antenatally. Positive and negative coping behaviors could be used simultaneously. Increasing self-esteem and resilience antenatally might promote more positive coping and further reduce the occurrence of postpartum depression.