This study aimed to analyse the role of governmental responses to the coronavirus disease 2019 (COVID-19) outbreak, measured by the Containment and Health Index (CHI), on symptoms of anxiety and depression during pregnancy and postpartum, while considering the countries' Inequality-adjusted Human Development Index (IHDI) and individual factors such as age, gravidity, and exposure to COVID-19. A cross-sectional study using baseline data from the Riseup-PPD-COVID-19 observational prospective international study (ClinicalTrials.gov: NCT04595123) was carried out between June and October 2020 in 12 countries (Albania, Brazil, Bulgaria, Chile, Cyprus, Greece, Israel, Malta, Portugal, Spain, Turkey, and the United Kingdom). Participants were 7645 pregnant women or mothers in the postpartum period-with an infant aged up to 6 months-who completed the Edinburgh Postnatal Depression Scale (EPDS) or the Generalised Anxiety Disorder Assessment (GAD-7) during pregnancy or the postpartum period. The overall prevalence of clinically significant depression symptoms (EPDS >= 13) was 30%, ranging from 20,5% in Cyprus to 44,3% in Brazil. The prevalence of clinically significant anxiety symptoms (GAD-7 >= 10) was 23,6% (ranging from 14,2% in Israel and Turkey to 39,5% in Brazil). Higher symptoms of anxiety or depression were observed in multigravida exposed to COVID-19 or living in countries with a higher number of deaths due to COVID-19. Furthermore, multigravida from countries with lower IHDI or CHI had higher symptoms of anxiety and depression. Perinatal mental health is context-dependent, with women from more disadvantaged countries at higher risk for poor mental health. Implementing more restrictive measures seems to be a protective factor for mental health, at least in the initial phase of the COVID-19.