Background Antenatal depression and anxiety are associated with adverse obstetric and mental health outcomes, yet practicable nonpharmacological therapies, particularly for the latter, are lacking. Yoga incorporates relaxation and breathing techniques with postures that can be customized for pregnant women. This study tested the efficacy of yoga as an intervention for reducing maternal anxiety during pregnancy. Methods Fifty‐nine primiparous, low‐risk pregnant women completed questionnaires assessing state (State Trait Anxiety Inventory; STAI‐State), trait (STAI‐Trait), and pregnancy‐specific anxiety (Wijma Delivery Expectancy Questionnaire; WDEQ) and depression (Edinburgh Postnatal Depression Scale; EPDS) before randomization (baseline) to either an 8‐week course of antenatal yoga or treatment‐as‐usual (TAU); both groups repeated the questionnaires at follow‐up. The yoga group also completed pre‐ and postsession state anxiety and stress hormone assessments at both the first and last session of the 8‐week course. Results A single session of yoga reduced both subjective and physiological measures of state anxiety (STAI‐S and cortisol); and this class‐induced reduction in anxiety remained at the final session of the intervention. Multiple linear regression analyses identified allocation to yoga as predictive of greater reduction in WDEQ scores (B = −9.59; BCa 95% CI = −18.25 to −0.43; P = .014; d = −0.57), while allocation to TAU was predictive of significantly increased elevation in EPDS scores (B = −3.06; BCa 95% CI = −5.9 to −0.17; P = .042; d = −0.5). No significant differences were observed in state or trait anxiety scores between baseline and follow‐up. Conclusion Antenatal yoga seems to be useful for reducing women's anxieties toward childbirth and preventing increases in depressive symptomatology.