Obesity during pregnancy is a worrying public health problem worldwide. Maternal diet is critical for fatty acid (FA) placental transport and FA content in breast milk (BM). We evaluated FA composition in erythrocytes phospholipids (EP) and BM in pregnant women with (OBE, n = 30) and without (non-OBE, n = 31) obesity. Sixty-one healthy women were evaluated at their 20–24th gestational week and followed until 6th month of lactation. Diet was evaluated through a food frequency questionnaire. FA composition of EP and BM was assessed by gas-liquid chromatography. The OBE group showed lower diet quality, but total n-6 and n-3 polyunsaturated FA (PUFA), ALA, EPA, and DHA dietary intake was similar between groups. N-3 PUFA, ALA, DHA, and the n-6/n-3 PUFA ratio in EP were lower at the 6th lactation month in the OBE group. In BM, the arachidonic acid (AA) concentration was lower at the end of the lactation, and DHA content showed an earlier and constant decline in the OBE group compared to the non-OBE group. In conclusion, n-3 PUFA and AA and DHA levels were reduced in EP and BM in pregnant women with obesity. Strategies to increase n-3 PUFA are urgently needed during pregnancy and lactation, particularly in women with obesity.