Risk perception (RP) evaluation during pregnancy and its relationship with lifestyles are considered useful tools for understanding communities living in high-risk areas and preventing dangerous exposure. It is well known that exposure to pollutants and less-healthy lifestyles may result in increased disease occurrence during life. Our work investigated environmental RP through ad hoc questionnaires administered to 611 mothers within the NEHO birth cohort, recruited in three heavily contaminated areas of Southern Italy. Four different RP indices, an exploratory factorial analysis (EFA), and a latent class analysis were evaluated from questionnaires. The highest values of risk perception index were observed in the Milazzo site (0.64 ± 0.16) and the lowest in the Crotone site (0.5 ± 0.18). EFA revealed four latent factors, including different items describing environmental pollution, and subjects were classified into four latent classes with different RP indices. Significant RP profiles were different among the sites (p < 0.001). Our results did not demonstrate any association between RP and lifestyles during pregnancy. Improving healthy lifestyle behaviours, particularly in polluted areas, would generate co-benefits by preventing further risk factors. As remediation interventions can take a long time, it needs to improve healthy lifestyles in residents until remediation is completed.