The hypothalamic-pituitary-adrenal axis, with cortisol as its final metabolite, has been proposed as a potential underlying biological mechanism for associations between depression and stress symptoms during pregnancy and adverse perinatal outcomes. In this study, we explored associations between salivary cortisol as a potential biomarker for stress and depressive symptoms and several self-completed psychological measurement scales among pregnant women. In total, 652 pregnant women participating in the PRegnancy and Infant DEvelopment (PRIDE) Study completed the Edinburgh Depression Scale (EDS), Patient Health Questionnaire-2 (PHQ-2), Pregnancy-Related Anxiety Questionnaire-Revised (PRAQ-R), and Tilburg Pregnancy Distress Scale (TPDS) and collected a single awakening salivary cortisol sample around gestational week 17. Odds ratios, Spearman’s correlation coefficients (ρ_s) and Cohen’s Kappa coefficients (κ) were calculated to examine the associations between the EDS, PHQ-2, PRAQ-R, TPDS, and maternal cortisol levels. The overall correlation coefficient between the score on the EDS and the salivary cortisol level was 0.01 (p = 0.89) with κ = -0.01 (95% confidence interval [CI] -0.08–0.06). We did not observe agreement between the PHQ-2 and cortisol levels either (κ = 0.06 (95% CI -0.02–0.14)). The results for the PRAQ-R and TPDS were similar with overall correlations with maternal cortisol levels of ρ_s = 0.01 (p = 0.81) and ρ_s = 0.06 (p = 0.35) and agreements of κ = 0.02 (95% CI -0.06–0.09) and κ = -0.02 (95% CI -0.11–0.07), respectively. Maternal awakening salivary cortisol levels and measures of maternal psychological distress, anxiety, depressive symptoms, and pregnancy-related anxiety, assessed by self-completed questionnaires, did not seem to be related in mid-pregnancy.