Purpose: Which feelings on the major depression inventory (MDI) and the perceived stress scale (PSS) are predominant among women with recurrent pregnancy loss (RPL)? Materials and methods: Prospective cohort study of women with RPL referred to the tertiary RPL Unit at Copenhagen University Hospital, Rigshospitalet, Denmark, from 2010–2013. All women answered the MDI and PSS at time of referral. Results: In total, 298 women completed the MDI and the PSS, of which 162 had primary RPL and 136 secondary RPL. The most common feelings were low in energy (42%), loss of interest (35%), sadness (35%), and guilt (29%). Twenty-six (8.6%) women fulfilled the criteria for moderate to severe depression. Of the remaining 272 women, nine felt that life was not worth living. Among all women feeling angered of things outside their control (35%) and unable to control important things (27%) were predominant. Women with primary RPL compared to secondary RPL more often felt less self-confident and that life wasn’t worth living (p = 0.007 and p = 0.002). Conclusions: Feelings of guilt and loss of control were predominant in women with RPL. Women with primary RPL could represent a particularly sensitive group. Addressing these specific feelings could help treating the psychological aspects of RPL.