Background: We monitored exposure to fine particulates (PM2.5), ozone, nitrogen dioxide (NO2), and ambient temperature for pregnant women with and without asthma. Methods: Women (n = 40) from the Breathe—Well-Being, Environment, Lifestyle, and Lung Function Study (2015–2018) were enrolled during pregnancy and monitored for 2–4 days. Daily pollutants were measured using personal air monitors, indoor air monitors, and nearest Environmental Protection Agency’s stationary monitors based on GPS tracking and home address. Results: Personal-monitor measurements of PM2.5, ozone, and NO2 did not vary by asthma status but exposure profiles significantly differed by assessment methods. EPA stationary monitor-based methods appeared to underestimate PM2.5 and temperature exposure and overestimate ozone and NO2 exposure. Higher indoor-monitored PM2.5 exposures were associated with smoking and the use of gas appliances. The proportion of waking-time during which personal monitors were worn was ~56%. Lower compliance was associated with exercise, smoking, being around a smoker, and the use of a prescription drug. Conclusions: Exposure did not vary by asthma status but was influenced by daily activities and assessment methods. Personal monitors may better capture exposures but non-compliance merits attention. Meanwhile, larger monitoring studies are warranted to further understand exposure profiles and the health effects of air pollution during pregnancy.