Internationally, nurses and midwives played a major role in the care of patients with COVID-19. More qualitative studies now exist, but still little is known about the psychosocial impact. The aim of this study was to assess the psychosocial impact of the COVID-19 pandemic on nurses and midwives in Denmark. A cross-sectional survey completed by nurses and midwives employed at a university hospital in Denmark between May and June 2020 was conducted. Psychological distress was assessed using the Depression, Anxiety and Stress Scale (DASS-21). The study was conducted in accordance with the STROBE guidelines. A total of 1416 (37.9%) nurses and midwives completed the survey, 61% (n = 843) felt at risk of getting COVID-19, and 27% (n = 377) felt more stressed than usual. Overall, nurses and midwives did not experience psychological distress at the beginning of the pandemic. However, exposure to COVID-19 was associated with symptoms of depression, anxiety, and stress.