This study aimed to: 1) describe the number, frequency, severity of discomfort and effect of symptoms on life of 29 physical symptoms women experienced at 15 to 25 weeks of gestation; 2) explore whether experiencing this group of physical symptoms more frequently and intensely was associated with a higher score of depressive symptoms and lower self-esteem; (3) examine whether discomfort and effect ratings aided prediction of well being over and above symptom frequency; and (4) investigate which individual physical symptoms contributed most to predicting depressive symptoms and self-esteem. Pregnant women (n = 215) completed the Beck Depression Inventory, Rosenberg Self-Esteem Scale, and a physical symptoms questionnaire. Frequency, discomfort, and the effect of physical symptoms all consistently correlated with higher scores for depressive symptoms, but less consistently with lower self-esteem. Discomfort and the effect of symptoms predicted variance in depressive symptoms after accounting for symptom frequency. Higher frequency, more discomfort, and the effect of fatigue and effect of flatulence were related to depressive symptoms. Relationships between pregnancy-related physical symptoms, depressive symptoms, and low self-esteem suggest that when women report any of these constellation of factors, further screening is indicated. A comprehensive assessment of physical symptoms includes frequency, discomfort, and effect on life.