Background: During the perinatal period, risk of depression and anxiety (D&A) increases. As in other crisis events, the COVID-19 pandemic, imposed social distancing measures, diminished social support and changes in perinatal healthcare provision which heightened this risk. This study aimed to examine how changes in social and healthcare provider support during the pandemic affected coping strategies and depression and anxiety symptoms (D&As) among perinatal women. Methods: A cross-sectional international study included 7,368 pregnant and postpartum women up to six months postpartum from 12 countries (Albania, Brazil, Bulgaria, Chile, Cyprus, Greece, Israel, Malta, Portugal, Spain, Turkey, and the United Kingdom). Between June and October 2020, women answered an online survey regarding D&As (measured by the Edinburgh Postnatal Depression Scale and Generalized Anxiety Disorder-7), level of social and healthcare providers' support, changes to these types of support and coping strategies. Results: Main findings show that 24.6% of women had symptoms of depression and 20.2% of anxiety. Higher levels of D&A were associated with lower social and provider support, negative changes to social support and use of negative internal coping strategies. Positive coping strategies mediated the relationship between increased social and provider support and decreased D&As, while negative coping strategies mediated the relationship between negative changes to social support and increased D&As. Conclusion: Social and provider support can promote coping strategies and reduce emotional distress. Healthcare providers should screen perinatal women for D&A, discuss ways to improve their coping strategies and social support as a preventive measure, and offer initial emotional well-being support.