Purpose The relation between diet and maternal mental health during pregnancy might be relevant to prevent adverse materno-foetal outcomes. This study examined the association of Mediterranean diet (MD) adherence and MD components with mental health during pregnancy. Methods This secondary analysis of the GESTAFIT trial included longitudinal data from 152 pregnant women. Dietary habits were assessed with a food frequency questionnaire, and MD adherence was derived from it using the Mediterranean Food pattern. Psychological ill-being (i.e., negative affect, anxiety, and depression) and well-being (i.e., emotional intelligence, resilience, positive affect) were assessed with the Spanish version of well-established self-reported questionnaires. Cross-sectional (16th gestational week [g.w.]) and longitudinal associations (34th g.w.) between MD and mental health were studied using linear regression models. Results A greater MD adherence was inversely associated with negative affect and anxiety; and positively associated with emotional regulation, resilience and positive affect at the 16th and 34th g.w. (|beta| ranging from 0.179 to 0.325, all p < 0.05). Additionally, a higher intake of whole grain cereals, fruits, vegetables, fish, olive oil and nuts, and a lower intake of red meat and subproducts and sweets were associated with lower negative affect, anxiety, depression and higher emotional regulation, resilience and positive affect throughout gestation (|beta| ranging from 0.168 to 0.415, all p < 0.05). Conclusion A higher intake of whole grain cereals, fruits, vegetables, fish, olive oil and nuts, together with a lower intake of red meat and sweets, resulted in a higher MD adherence, which was associated with a better mental health during pregnancy.