Few studies provide a detailed description of dietary habits during pregnancy, despite the central role of nutrition for the health of the mother and offspring. This paper describes the dietary habits, energy and nutrient intake in pregnant women from four countries belonging to the Mediterranean PHIME cohort (Croatia, Greece, Italy and Slovenia) and evaluates their adherence to the European Food Safety Authority (EFSA) recommendations. A total of 1436 women were included in the present analysis. Maternal diet was assessed using a food frequency questionnaire (FFQ). The mean macro and micronutrient intakes were estimated and compared with the dietary reference values (DRVs). The percentage distribution of the 16 food groups in the total intake of each macronutrient was estimated. All women shared a similar diet during pregnancy; almost all the women in the four countries exceeded the DRV for sugars, and the total fat intake was above the DRV in most women in all the countries, as was the contribution of saturated fatty acids (SFAs) to the total energy intake. In all four countries, we observed an increased risk of micronutrient deficiency for iron, folate and vitamin D. Shared guidelines, implemented at both the national and European level, are essential to improve the maternal nutritional status during pregnancy.