Prenatal mental illness is a significant public health issue with intergenerational consequences. Caring for Body and Mind in Pregnancy (CBMP) is an Australian, 8-week mindful parenting program. The primary aim of this study was to investigate the effectiveness of CBMP in reducing pregnant women’s levels of depression, anxiety, perinatal depression, perinatal anxiety and stress. The sample consisted of 109 pregnant women at-risk for perinatal depression and anxiety. The mean age of the sample was 33.52 years (SD = 4.90), ranging from 21 to 45 years. A within group, pre-post research design was used to examine whether CBMP improves participants’ scores on outcome measures. Wilcoxon Signed Rank test results indicated that CBMP significantly reduced depression, anxiety, perinatal depression, perinatal anxiety and general stress scores, while significantly increasing self-compassion and mindfulness with moderate to strong effect sizes. The double mediation hypothesis was supported with self-compassion t (71) = −2.23, p < 03, b2 = −1.96, SE = 88, 95% CI = −3.71, −.20, having a stronger influence in reducing perinatal depression than mindfulness t (71) = −2.68, p < .01, b3 = −.07, SE = .03, 95% CI = −.13, −.02. Further research, using a randomized controlled design with appropriate control conditions, is needed to establish the effectiveness of CBMP in reducing psychological distress amongst pregnant women at risk of developing depression, anxiety or stress.