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 (GHQ12). 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.