Background and Objectives: High-risk pregnancy is associated with increased vulnerability to psychological distress, yet the protective mechanisms that may buffer this vulnerability remain insufficiently understood. This study examined differences in emotional distress and coping strategies between women with high-risk and low-risk pregnancies and investigated whether active coping and marital satisfaction attenuate associations between negative pregnancy experiences, prenatal depression and perceived stress. Materials and Methods: A cross-sectional study was conducted among 195 pregnant women aged 18–51 years (M = 31.76, SD = 5.32), including 102 women with high-risk pregnancies and 93 women with low-risk pregnancies. Participants completed measures of prenatal depression (EPDS), state anxiety (STAI), perceived stress (PSS-10), pregnancy-related anxiety (PRAS), pregnancy experiences (PES), coping strategies (COPE), and marital satisfaction (CSI). Independent-samples t tests, correlation analyses, partial correlations and moderation analyses were conducted. Results: Women with high-risk pregnancies reported significantly higher levels of prenatal depression (p = 0.032) and pregnancy-related anxiety (p < 0.001) than women with low-risk pregnancies. They also reported lower use of socio-emotional support (p = 0.036) and mental disengagement coping strategies (p = 0.022). Negative pregnancy experiences were positively associated with state anxiety, pregnancy-related anxiety, prenatal depression, and perceived stress after controlling for pregnancy risk status (all p < 0.001). Maladaptive coping strategies were generally associated with higher emotional distress, whereas adaptive coping strategies, particularly positive reinterpretation and planning, were associated with lower levels of prenatal depression and anxiety. Active coping moderated the association between negative pregnancy experiences and perceived stress (β = −0.16, p = 0.016). Marital satisfaction moderated the association between prenatal depression and perceived stress among women with high-risk pregnancies (β = −0.21, p = 0.016). Conclusions: Active coping and marital satisfaction emerged as modifiable protective factors that may attenuate psychological distress during pregnancy. These findings support the integration of psychological screening, coping-focused interventions, and partner involvement into prenatal care, particularly for women experiencing high-risk pregnancies.