HIV/AIDS is a health problem in which emotional, affective and cognitive factors play an important role; nevertheless there is little information about them in pregnant women. The purpose of this study is to describe and establish relationships between depression, anxiety, health perception of control (HPC) and stressful events perception of control (SEPC) in 17 medically controlled pregnant women diagnosed with HIV/AIDS. The study was non-experimental and transversal with a descriptive-correlational design. Through an interview and questionnaires to evaluate psychological variables, it was found that 29.4% had high levels of anxiety, 23.5% had high levels of depression and 5.9% had low levels of de HPC and SEPC. There was a significant, bilateral and positive correlation between anxiety and depression (r=0.731; p=0.001), and between anxiety and SEPC (r= 0.683; p= 0.003); and a negative correlation between HPC and anxiety (r= 0.870; p= 0.000), HPC and depression (r= -0.767; p= 0.000), and HCP and SEPC (r= -0.732; p= 0.001).