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Background: While risk of depression appears greatest in the second and third trimesters of pregnancy, few studies have examined prenatal depression and its comorbidity with anxiety in Africa. The present study aimed to assess the prevalence of prenatal depression and anxiety among pregnant women in Kenya, and to identify sociodemographic and health-related risk factors. Method: A convenience sample of 395 pregnant women in their second or third trimesters was recruited. Depressive symptoms were screened for using the Edinburgh Postnatal Depression Scale, with scores ≥12 indicating a high possibility of depression, and the Generalised Anxiety Disorder-7 scale screened for anxiety with scores ≥10 indicating possible anxiety. Results: Overall, 16.2% and 6.6% of women had depression and anxiety symptoms, respectively, and 12.5% of those with depressive symptoms also had anxiety. Multivariate ordinal logistic regressions revealed that unplanned pregnancy, income status, and feeling less happy about the pregnancy were significant predictors of both depression and anxiety. Younger maternal age and having no history of seeking psychological help also significantly increased the odds of depression and anxiety, respectively. Limitation: The study sample represents women in the upper end of the economic spectrum, thus limiting the generalisability of the findings to the general population of women in Kenya. Conclusion: Depression and anxiety were less prevalent than in previous studies from low-and-middle income countries (LMICs), but still signify a threat to maternal mental health and pose a risk to maternal mental health and infant developmental outcomes. Routine screening for depression is recommended to enable timely intervention.