Anxiety and depression are caused by altered sleep patterns during pregnancy. Previous reports demonstrated an association between poor sleep quality and an enhanced risk of adverse birth outcomes. The purpose of this study was to ascertain the connection between sleep and mental health in Saudi Arabian expectant mothers. Between December 2020 and December 2022, pregnant women at Saudi Arabian healthcare facilities participated in the current cross-sectional study. Convenience sampling was used to select women with singleton pregnancies from selected health centers. All the data were collected by using validated questionnaires. Utilizing the Pittsburgh Sleep Quality Index (PSQI), Epworth Sleepiness Scale (ESS), and Insomnia Severity Index (ISI), sleep outcomes were evaluated. The Beck Depression Inventory short form (BDI-II SF), the State-trait Anxiety Inventory (STAI), the exhaustion Severity Scale (FSS), and the Perceived Stress Scale (PSS) were used to evaluate mental health and exhaustion. 110 people in total participated in the study. Participants' average ages ranged from 29.22±10.11 years. The mean stress, fatigue, insomnia, daytime sleepiness, sleep quality, anxiety, and depression were 29.10±20.08, 4.45±3.77, 24.62±8.90, 15.04±10.15, 6.73±3.29, 44.61±28.07 and 17.90±11.70 respectively. Stress, poor sleep, exhaustion, and mental health measures (depression and anxiety) were shown to be significantly correlated with one another (p < 0.001) in pregnant women. According to regression models, insomnia and exhaustion were very significant predictors of anxiety and sadness. According to the study's findings, pregnant women who have poor sleep quality are more likely to have mental health issues, including anxiety and despair.