Objective To investigate the association between antenatal depression and anxiety and early pregnancy Body Mass Index (BMI) within and between White British and South Asian women. Design Retrospective analysis Setting The Born in Bradford cohort, UK Population White British and South Asian pregnant women, 2007-2011 Methods Mother’s BMI was stratified into six World Health Organisation BMI categories (underweight, recommended, overweight or obese class 1-3). To determine associations with outcomes, univariate and multivariate logistic regression models (adjusting for maternal age, education, deprivation and smoking) were used. Main outcome measure Depression and anxiety using the General Health Questionnaire (GHQ); a GHQ score of >0 for the depression subscale and >6 for anxiety. Results There were 7824 women included (3514 White British and 4310 South Asian). South Asian women were significantly more likely to have depression than White British (43.3% vs 36.1% p<0.0001) and less likely to have anxiety (45.3% vs 48.4% p<0.01). There was no significant association between early pregnancy BMI and depression or anxiety in South Asian women. White British women with an overweight BMI had higher odds of anxiety compared with women with a recommended BMI (Adjusted Odds Ratio 1.25, 95% Confidence Interval 1.05-1.47). No significant associations were observed for other BMI categories. Conclusion Although South Asian women have a higher prevalence of depression than White women in this cohort, the known associations between maternal obesity and anxiety do not appear to be present. More studies are needed using validated depression tools for South Asian pregnant women.