While grief, emotional distress and other mental health conditions have been associated with pregnancy loss, less is known about the mental health impact of these events during subsequent pregnancies and births. This paper examined the impact of any type of pregnancy loss on mental health in a subsequent pregnancy and postpartum. Data were obtained from a sub-sample (N = 584) of the 1973-78 cohort of the Australian Longitudinal Study on Women's Health, a prospective cohort study that has been collecting data since 1996. Pregnancy loss was defined as miscarriage, termination due to medical reasons, ectopic pregnancy and stillbirth. Mental health outcomes included depression, anxiety, stress or distress, sadness or low mood, excessive worry, lack of enjoyment, and feelings of guilt. Demographic factors and mental health history were controlled for in the analysis. Women with a previous pregnancy loss were more likely to experience sadness or low mood (AOR = 1.75, 95% CI: 1.11 to 2.76, p = 0.0162), and excessive worry (AOR = 2.01, 95% CI: 1.24 to 3.24, p = 0.0043) during a subsequent pregnancy, but not during the postpartum phase following a subsequent birth. These results indicate that while women who have experienced a pregnancy loss are a more vulnerable population during a subsequent pregnancy, these deficits are not evident in the postpartum.