Pregnancy can place adolescent girls and young women (AGYW) at risk of poor mental health. However, evidence linking youth pregnancy to mental health in resource-limited settings is limited, especially where HIV incidence is high. We analysed a population-representative cohort of AGYW aged 13–25 in rural KwaZulu-Natal to assess how adolescent pregnancy predicts subsequent mental health. Among 1851 respondents, incident pregnancy (self-reported past-12-month) rose from 0.7% at age 14% to 22.1% by 18. Probable common mental disorder (CMD; 14-item Shona Symptom Questionnaire) prevalence was 19.1%. In adjusted Poisson regression recent pregnancy was associated with slightly higher probable CMD (adjusted prevalence ratio [aPR] 1.19, 95%CI 0.96–1.49), and stronger association among 13–15 year-olds (aPR 3.25, 95%CI 1.50–7.03), but not with HIV serostatus. These findings suggest a possible incremental mental health impact of being pregnant earlier than peers, pointing to the need for age-appropriate mental health interventions for AGYW in resource-limited settings.