Introduction: In understanding the psychological sequelae of miscarriage, longitudinal research which assesses women prior to miscarriage is vital. Method: This study uses the Australian Longitudinal Study on Women’s Health to examine the psychological health of women before and after miscarriage. The first analysis involved 7,790 young women who responded to Survey 2 in 2000 (aged 22–27). Women were categorised into 3 groups: No Miscarriage, Previous Miscarriage and Future Miscarriage (these women would go on to have their first miscarriage before the next survey). The second analysis used 7, 261 women who responded to Survey 3 (aged 25–31), categorised into two groups: No Miscarriage and Recent Miscarriage. Results: At Survey 2, both the Previous and Future Miscarriage groups were more likely to report feeling that life was not worth living, and to have a previous diagnosis of depression or anxiety, than women in the No Miscarriage group. At Survey 3, however, there were no psychological differences between women who went on to have a miscarriage (Recent Miscarriage group, formerly Future Miscarriage group) and the No Miscarriage group when pre-existing differences were taken into account. Conclusion: While women who experience miscarriage may experience psychological distress, the longitudinal analysis suggests that the distress is evident before the miscarriage occurs. We suggest that some women find the entire process of preparing for pregnancy and motherhood distressing, and it is this pre-existing emotional vulnerability, rather than the pregnancy loss, that explains elevated levels of distress in other research.