Background: We aimed to describe pregnant women’s worry about the SARS-CoV-2 pandemic, the associated reasons, their perceived vulnerability to this infection, and factors influencing continued poor/non-existent or decreased implementation of preventive measures over time. Method: A cross-sectional study was conducted in July 2020 using a web-questionnaire completed by 500 women who were pregnant during the first lockdown in France (March–May 2020). Questions focused on worry caused by the pandemic, perceived vulnerability to infection by SARS-CoV-2 and implementation of preventive measures during and after lockdown. A robust variance Poisson regression model was used to estimate adjusted prevalence ratios (aPR) for perceived vulnerability and continued poor/non-existent or decreased implementation of preventive measures. Results: Participants felt significantly more vulnerable to infection than women of childbearing age who were included in a parallel study on the French general population, but were significantly less worried about the pandemic. Obese participants and those who unsuccessfully sought exchanges with healthcare professionals about their infection risk felt significantly more vulnerable (aPR = 1.32 95%CI[1.05–1.64] and 1.88 [1.43–2.48], respectively). Participants with continued poor/non-existent or decreased implementation of preventive measures two months after the lockdown ended were more likely to have experienced violence during the lockdown (2.06, [1.32–3.22]), or to live in areas less affected by the pandemic (1.66 [1.05–2.62]). A good knowledge of viral transmission (0.54 [0.30–0.97]) and a high perceived vulnerability score (0.66 [0.44–0.99]) were associated with maintained/increased implementation of preventive measures. Conclusions:Our results can guide prevention and support policies for pregnant women during pandemics, current or future.