STUDY QUESTION: Is the prevalence of psychological stress and moderate/severe depression higher for women with recurrent pregnancy loss (RPL) than pregnancy planners trying to conceive naturally? SUMMARY ANSWER: Both psychological stress and major depression are significantly more common among women with RPL than in those trying to conceive naturally. WHAT IS KNOWN ALREADY: RPL has a significant emotional impact on couples, especially the woman. Previous studies have shown inconclusive results. STUDY DESIGN, SIZE, DURATION: In this cross-sectional study, we compared the prevalence of stress and depression among 301 women with RPL and 1813 women attempting to conceive naturally. We defined RPL as three or more pregnancy losses before 12 weeks' gestation. RPL patients were enrolled from 2010 to 2013 and the comparison group from 2011 to 2014. PARTICIPANTS/MATERIALS, SETTING, METHODS: RPL patients completed an online questionnaire before their first consultation at the Danish RPL Unit. In addition, we included data from a comparison group of 1813 women who participated in the Soon Parents Study (www.SnartForældre.dk). The Major Depression Index (MDI) was used to assess symptoms of depression, and Cohen's Perceived Stress Scale (PSS) was used to measure stress. Relevant demographic data were also retrieved. MAIN RESULTS AND THE ROLE OF CHANCE: Of the RPL patients, 26 (8.6%) had a score on the MDI corresponding to moderate/severe depression, as did 40 (2.2%) of the women in Soon Parents Study (adjusted odds ratio (OR) 5.53 (95% confidence interval (CI): 2.09; 14.61)). A high stress level, defined as ≥19 on the PSS scale, was reported by 124 (41.2%) of the patients and 420 (23.2%) in the comparison group (adjusted OR 1.59 (95% CI 1.03; 2.44)). LIMITATIONS, REASONS FOR CAUTION: We used online questionnaires, and have no interview data. We were unaware if any of the women in the comparison group suffer from RPL. WIDER IMPLICATIONS OF THE FINDINGS: This study should entail a heightened awareness of mental distress among care providers for women with RPL. STUDY FUNDING/COMPETING INTERESTS: No specific funding was sought for this study. The Soon Parents Study is funded by National Institute of Child Health and Human Development (R01 HD060680-01A4). No authors have competing interests to declare. TRIAL REGISTRATION NUMBER: N/A.