A pilot study of cognitive analytic therapy (CAT) plus treatment as usual (TAU), versus TAU in stressed pregnant women with anxiety and depression, was undertaken as an essential preliminary to any definitive, randomized controlled trial (RCT). The trial was pragmatic, multicentre, parallel, randomized, controlled, and unblinded. Participants were pregnant women screened using the Hospital Anxiety and Depression Scale (HADS). Treatment was standard 16‐session CAT. Main outcome measures were Spielberger State/Trait Anxiety Inventory (STAI) (primary outcome measure) at 24 weeks after randomization, therefore 1 month after therapy for the CAT group; HADS; Clinical Outcomes in Routine Evaluation—Outcome Measure (CORE‐OM); Edinburgh Postnatal Depression Scale (EPDS); 36‐item Short Form Health Survey (SF‐36); and a brief Experiences of Therapy Questionnaire, completed at baseline and on average at 12, 24, 40, and 82 weeks after randomization. Thirty‐nine patients (CAT + TAU, n = 20; TAU, n = 19) were randomized with mean baseline STAI State scores of 50.8 (SD 11.4) and 51.1 (SD 13.3), respectively. Sixteen patients had missing primary outcome data leaving 23 (n = 11 and n = 12) patients for analysis. The mean STAI State score was 38.5 (SD 13.8) and 45.7 (SD 16.8) in the CAT and TAU groups respectively at 24 weeks after randomization, with an adjusted difference in means of 7.2 (95% confidence interval [CI]: −7.9 to 20.6). No safety issues were reported. Patient retention for the CAT group was high (18/20; 90% of patients completed therapy). Ten out of 11 (90.9%) respondents ‘agreed’ or ‘strongly agreed’ that having CAT had been ‘very helpful’. The study demonstrated the feasibility of safely undertaking CAT in this setting. Outcomes showed positive trends compatible with a clinically important effect, although statistically definitive conclusions cannot be drawn in such a study.