Objective: Higher rates of mental disorders, specifically depression, were found among affected people in previous epidemiological studies taken after disasters. The aim of the current study was to assess risk for depression among pregnant women hospitalized during the “coronavirus disease 2019” (COVID-19) pandemic, as compared to women hospitalized before the COVID-19 pandemic. Study design: A cross-sectional study was performed among women hospitalized in the high-risk pregnancy units of the Soroka University Medical Center (SUMC). All participating women completed the Edinburgh Postnatal Depression Scale (EPDS), and the results were compared between women hospitalized during the COVID-19 strict isolation period (19 March 2020 and 26 May 2020) and women hospitalized before the COVID-19 pandemic. Multivariable logistic regression models were constructed to control for potential confounders. Results: Women hospitalized during the COVID-19 strict isolation period (n = 84) had a comparable risk of having a high (>10) EPDS score as compared to women hospitalized before the COVID-19 pandemic (n = 279; 25.0% vs. 29.0%, p = 0.498). These results remained similar in the multivariable logistic regression model, while controlling for maternal age, ethnicity and known mood disorder (adjusted odds ratio (OR) 1.0, 95% CI 0.52–1.93, p = 0.985). Conclusion: Women hospitalized at the high-risk pregnancy unit during the COVID-19 strict isolation period were not at increased risk for depression, as compared to women hospitalized before the COVID-19 pandemic.