Depression and anxiety in the antenatal period are of public health concern given potential adverse effects for both mother and infant. Both are under-researched in the first trimester of pregnancy, especially in Africa. We examine the prevalence of first trimester antenatal depression and anxiety in a cohort of South African women and investigate associated risk factors. Data were collected from 946 women (2014–2016) in the Soweto First 1000 Days Cohort, a prospective pregnancy cohort in Soweto, South Africa. Antenatal depression was assessed using the Edinburgh Postnatal Depression Scale with a score of ⩾13 indicating probable depression. Anxiety was assessed using the short form of the State-Trait Anxiety Index with a score ⩾12 indicating probable anxiety. Prevalence of antenatal depression was 27% [95% confidence interval (CI) 24.2–29.8] and anxiety 15.2% (95% CI 12.9–17.5). Factors associated with antenatal depression and anxiety were predominantly relationship- and family-centred. Women who perceived that their partner made life harder for them had three-fold increased odds for depression [(odds ratio (OR) 3.33 [2.28–4.85] P<0.001], whereas those with family stressors had almost double the odds for depression (OR 1.78 [1.22–2.59] P=0.003) and anxiety (OR 1.75 [1.44–2.69] P=0.0011). Antenatal depression and anxiety are common in the first trimester of pregnancy, and partner and family relationship stressors are central. Longitudinal analysis is needed to determine if this is a phase of adjustment to pregnancy or onset of persistent symptomology. Early intervention may have secondary preventative effects and should involve the partner and family.