Objective: To investigate the incidence and risk factors of peripartum mood disorder (PPMD) in order to improve clinical prevention and intervention of this condition. Methods: This was a prospective cohort study recruiting first-trimester pregnant women (<13 gestational weeks) from Beijing Daxing Maternal and Child Care Hospital from October 1, 2016 to December 31, 2017. Zung Self-rating Anxiety Scale (SAS) and Zung Self-rating Depression Scale (SDS) were used to evaluate the anxiety and depression status in the second and third trimesters, respectively. Their life styles, social and environmental factors exposure during pregnancy were also collected. Statistical analysis was conducted using Chi-square test, student's t test, Mann-Whitney U test and multivariate logistic regression. Results: (1) A total of 478 subjects were enrolled in early pregnancy and 460 (96.2%) and 431 (90.2%) of them completed SAS and SDS assessment in the second and third trimesters, respectively, and 413 (86.4%) of the subjects finished both assessments on two occasions. (2) The prevalence of anxiety and depression was 7.1% (30/425) and 13.9% (59/425) in the second trimester, and 11.2% (44/392) and 21.5% (84/390) in the third. The incidence of anxiety and depression in the third trimester was 7.7% (26/336) and 9.6% (30/313). (3) Cross-sectional data analysis showed that prolonged television watching was a risk factor of anxiety in the second (OR=1.216, 95%CI: 1.055-1.402) and third (OR=1.166, 95%CI: 1.044-1.303) trimester, while exercise was a protect factor (OR=0.238, 95%CI: 0.105-0.541; OR=0.432, 95%CI: 0.212-0.879). Pregnant women with longer sleeping time had lower risks of depression in the second trimester (OR=0.725, 95%CI: 0.554-0.950); those who did exercise had lower risks of depression in the third trimester (OR=0.450, 95%CI: 0.252-0.803). (4) Longitudinal-data analysis revealed that longer television watching time in the second trimester was a risk factor for anxiety (OR=1.264, 95%CI: 1.117-1.432) and depression (OR=1.119, 95%CI: 1.005-1.246) in the third trimester. Conclusions The prevalence of anxiety and depression in the third trimester is higher than that in the second trimester. The incidence of depression is higher than that of anxiety in the third trimester. Prolonged television viewing time in the second trimester is a risk factor for both anxiety and depression in the third trimester.