This study aims to elucidate the appropriate factor structure for Hospital Anxiety & Depression Scale (HADS) for assessment of anxiety and depression symptoms during pregnancy among Pakistani women. This cross-sectional study was conducted during a 5 month period (2014) in four teaching hospitals of Lahore, Pakistan. Convenience sampling was done to recruit pregnant women availing obstetrics and gynecology services for routine prenatal or perinatal care in the respective departments of the four institutes. Trained interviewers interviewed the consenting participants using a pre-tested scale. All data were analyzed using SPSS v.20. Factor structure of the HADS was explored using Principal Axis Factoring (PAF) method. Goodness of fit of the factor structure was assessed using the Confirmatory Factor Analysis (CFA). Cronbach's alpha value for whole scale was good (α = 0.81). Sensitivity analysis involving assessment of Cronbach's alpha value after removal of each item, did not reveal any major deviations in overall internal consistency of the HADS. Parallel analysis suggested one factor solution to be viable. When one factor was extracted as a uni-dimensional measure of anxiety and depression: item 11 (I feel restless as I have to be on the move) and 14 (I can enjoy a good book or radio or TV program) were deemed problematic for having low communalities and factor loading values.