This study aimed to examine the association between second-hand smoke (SHS) exposure and psychological distress amongst non-smoking pregnant women. A cross-sectional study was used to obtain a representative sample of non-smoking pregnant women attending health clinics (n = 661) across six states in Malaysia. The duration of SHS exposure inside and outside the house was recorded from the participants. Psychological distress was assessed via General Health Questionnaire (GHQ-12). The analyses were conducted using a logistic regression adjusted for demographic variables and other variables. Amongst non-smoking pregnant women, the prevalence of global SHS exposure and psychological distress was 80.4% and 64.2%, respectively. In the multivariate adjusted odds ratio (OR) models for psychological distress and the duration of SHS exposures, there was an OR of 1.04 (95% CI: 0.61-1.77) for individuals with SHS exposure of 1-4 hours/week, 0.44 (95% CI: 0.23-0.81) for SHS exposure of 5-14 hours/week and 0.84 (95% CI: 0.32-2.22) for exposures of >15 hours/week compared to those with no SHS exposure outside the home. Meanwhile, SHS exposure outside the house with the duration of 5-14 hours might have temporary calming effects against psychological distress. Nonetheless, more research is needed to ascertain this.