Pregnancy loss is the most common severe pregnancy complication and is associated with significant mental health sequelae, including depression and anxiety. Standard care in Denmark does not include systematic follow-up or aetiological investigation after pregnancy loss. The Copenhagen Odense Pregnancy Loss (COPL) Cohort offered extensive aetiological investigations, and a dedicated clinical follow-up visit 4-10 weeks post-loss. This is a target trial emulation (TTE) designed to estimate the causal effect of COPL participation on women's mental health outcomes one year after pregnancy loss. We will emulate a target trial comparing (1) enrolment into COPL versus (2) standard pregnancy loss care. The study population comprises women aged ≥18 years with a confirmed intrauterine pregnancy loss (ICD-10: DO020, DO021, DO030-DO034) before 22 weeks' gestation treated at Danish public hospitals between November 2020 and April 2025. The primary outcome is new-onset affective disorder (ICD-10: F32\*-F39\*), neurotic/stress-related disorder (F41\*, F43\*, F48\*), or dispensing of antidepressant (N06A\*), anxiolytic (N05B\*), or sedating (N05C\*) medication within 12 months of pregnancy loss diagnosis. All data will be sourced from Danish National Registries. The difference-in-differences estimator will serve as the primary analytical approach, complemented by instrumental variable analysis (hospital of treatment as instrument) and regression discontinuity design. Inverse probability of treatment weighting will be used to control for measured confounders. Results will be reported as risk ratios and risk differences with 95% confidence intervals. Sensitivity analyses will include per-protocol estimation and exclusion of women with treatable findings identified in COPL.