Elevated cortisol during pregnancy is associated with adverse birth outcomes and may alter fetal development and subsequent adult health. Numerous studies link elevated cortisol to depression and anxiety, but only a few have examined these relationships during pregnancy and in response to laboratory stressors. No studies have investigated the impact of comorbid anxiety and depression on cortisol during pregnancy. Salivary cortisol samples were collected twice before and once after a set of computer-based tasks (Stroop color-word matching task and either mental arithmetic or a controlled breathing task) from 180 pregnant women at approximately 36 weeks gestation. Based on psychiatric diagnoses, four groups of women were compared: 121 control, 16 depression, 34 anxiety, and 9 comorbid. Women also completed symptom and stress self-report scales. There was a significant main effect for maternal diagnosis on cortisol levels. Post hoc comparisons showed that comorbid subjects had higher salivary cortisol levels than controls, but subjects with only one diagnosis did not. Similar to cortisol, the comorbid subjects also had higher ratings on pregnancy-specific distress. Comorbidity during pregnancy, versus depression or an anxiety disorder alone, is uniquely associated with elevated cortisol and a negative evaluation of pregnancy. The potential impact of this combined psychiatric diagnosis on fetal development and future adult health needs further investigation.