This study is a nested case control study from a population-based cohort study conducted in Wuhan, China. The aim is to estimate the association between symptoms of depression during pregnancy (DDP), anxiety during pregnancy(ADP), and depression with anxiety during pregnancy (DADP) and low birth weight (LBW) and to examine the extent to which preterm birth (PTB) moderates these associations. Logistic regression analyses were used to model associations between DDP, ADP, and DADP and LBW. Models were stratified by the presence or absence of PTB to examine moderating effects. From the cohort study, 2853 had a LBW baby (cases); 5457 pregnant women served as controls. Women with DDP or ADP only were not at higher risk of having a LBW baby, but DADP was associated with increased risk of LBW (crude OR 1.41, 95% CI 1.17-1.70; adjusted OR 1.29, 95% CI 1.07-1.57), and the significant association was particularly evident between DADP and LBW in PTB, but not in full-term births. Our data suggests that DADP is related to an increased risk of LBW and that this association is most present in PTBs.