COVID-19 perceived impacts on sleep, fitness, and diet and associations with mental health during pregnancy: A cross-national study

•In a survey of 3696 pregnant women during COVID-19 pandemic, one in three pregnant women reported elevated mental health distress, and about 30–45% women reported moderate to high impacts on health behaviors across sleep, fitness, and diet.•Greater impact in each health behavior domain (sleep, diet, fitness) was linked to increased mental health distress, even after accounting for impacts in the other domains.•Gratitude and sense of community may buffer the impact of sleep and other health behaviors on mental health distress, while loneliness may exacerbate risks.•Addressing sleep, diet, and fitness changes together may help identify and prevent mental health distress in pregnancy during a major stressor such as a global pandemic.