Background <p>Antenatal depression is a risk factor for adverse pregnancy outcomes. Previous studies have demonstrated the significance of meaning in life as an influential factor for depression. However, the mediating effects of self-efficacy and perceived helplessness in the relationship between meaning in life and antenatal depression remain unexplored. This study aims to investigate these aspects.</p> Methods <p>This cross-sectional study (2018–2020) included a questionnaire survey was conducted among 2002 pregnant women from the Healthy Baby Birth Cohort at Wuhan Children’s Hospital using the General Information Survey, Brief Purpose in Life Scale, Edinburgh Postnatal Depression Scale, and Perceived Stress Scale.</p> Results <p>The prevalence of depressive symptoms among women during mid-pregnancy was 16.63%. Univariate analysis revealed significant associations between educational level, sleep conditions, and depressive symptoms (both <i>P</i> &lt; 0.05). The mean scores for meaning in life, perceived stress, self-efficacy, and perceived helplessness among pregnant women were 21.12 ± 5.117, 13.57 ± 5.086, 14.06 ± 3.55, and 13.63 ± 3.73 respectively. All variables except self-efficacy and perceived helplessness exhibited significant correlations with each other (all <i>P</i> &lt; 0.001). Both self-efficacy and perceived helplessness partially mediated the relationship between meaning in life and antenatal depression among pregnant women with mediation effects accounting for 20.07% and 47.40% of the total effect, respectively.</p> Conclusion <p>Self-efficacy, perceived helplessness, and meaning in life are important influencing factors on antenatal depression among pregnant women. Meaning of life should be emphasized to enhance self-efficacy and reduce perceived helplessness, thereby reducing the risk of antenatal depression.</p>