Maternal psychosocial distress is conceptualized as an important factor underlying the association between neighborhood deprivation and pregnancy outcomes. However, empirical studies to examine effects of neighborhood deprivation on psychosocial distress during pregnancy are scant. Based on a large multicenter cohort of pregnant women in Montreal, we examined (1) the extent to which psychosocial distress is clustered at the neighborhood-level, (2) the extent to which the clustering is explained by neighborhood material or social deprivation, and (3) whether associations between neighborhood deprivation and psychosocial distress persist after accounting for neighborhood composition (individual-level characteristics) using multilevel analyses. For 5,218 women residing in 740 neighborhoods, a prenatal interview at 24–26 gestational weeks measured both general and pregnancy-related psychological distress using well-validated scales: perceived stress, social support, depressive symptoms, optimism, commitment to the pregnancy, pregnancy-related anxiety, and maternal locus-of-control. Neighborhood deprivation indices were linked to study participants by their residential postal code. Neighborhood-level clustering (intraclass correlation) ranged from 1 to 2 % for perceived stress (lowest), optimism, pregnancy-related anxiety, and commitment to pregnancy to 4–6 % for perceived social support, depressive symptoms, and maternal locus of control (highest). Neighborhood material deprivation explained far more of the clustering (23–75 %) than did social deprivation (no more than 4 %). Although both material and social deprivation were associated with psychological distress in unadjusted analyses, the associations disappeared after accounting for individual-level socioeconomic characteristics. Our results highlight the importance of accounting for individual-level socioeconomic characteristics in studies of potential neighborhood effects on maternal mental health.