Background: The mental health of pregnant women, particularly those with elevated risks, has been an issue of global concern. Thus far, few studies have addressed the mental health of pregnant women with threatened preterm labour (TPL). This study investigated the prevalence of self-perceived burden (SPB) among Chinese women hospitalized due to TPL during pregnancy and early postpartum depressive disorders, exploring the effect of SPB and other potential risk factors on the early signs of postpartum depressive disorders. Methods: A self-reported survey was conducted in the obstetrics department of Anhui Provincial Hospital, China. Women hospitalized with TPL were approached 1 week after delivery. One hundred fifty women were recruited from January 2017 to December 2017. The Self-Perceived Burden Scale (SPBS) and Edinburgh Postnatal Depression Scale (EPDS) were the main measures. Descriptive statistics, Spearman correlations, and a multiple logistic regression were employed for data analysis. Results: SPB and early postpartum depressive disorders were commonly experienced by Chinese women hospitalized with TPL, and SPB was positively and significantly correlated with depressive symptoms. A multiple logistic regression analysis revealed that for the women hospitalized with TPL during pregnancy, the emotional aspect of SPB (OR = 1.42, 95% CI = 1.11-1.83, p = 0.006), age (OR = 1.14, 95% CI = 1.02-1.27, p = 0.023), occupation (OR = 3.48, 95% CI = 1.18-10.20, p = 0.023), the history of scarred uterus (OR = 7.96, 95% CI = 1.49-42.48, p = 0.015), the delivery mode of the present birth (OR = 6.19, 95% CI = 1.72-22.30, p = 0.005), and family support during pregnancy (OR = 0.60, 95% CI = 0.45-0.82, p = 0.001) were significant factors predicting early postpartum depressive symptoms. Conclusion: This study indicates that SPB and early postpartum depressive disorders are prevalent mental issues among Chinese women hospitalized with TPL, and that SPB, especially perceived emotional burden, is a strong predictor of early postpartum depressive disorders. Our study suggests the necessity of paying attention to mental health issues, e.g. SPB and postpartum depressive symptoms among hospitalized women with TPL, and providing appropriate interventions at the prenatal stage to prevent adverse consequences.