Stress and anxiety are frequent occurrences among pregnant women. We aimed to evaluate the effects of a Mediterranean diet intervention during pregnancy on maternal stress, well-being, and sleep quality throughout gestation. In a randomized clinical trial, 1221 high-risk pregnant women were randomly allocated into three groups at 19–23 weeks’ gestation: a Mediterranean diet intervention, a Mindfulness-Based Stress Reduction program, or usual care. All women who provided self-reported life-style questionnaires to measure their anxiety (State Trait Anxiety Inventory (STAI), Perceived Stress Scale (PSS)), well-being (WHO Five Well Being Index (WHO-5)), and sleep quality (Pittsburgh sleep quality index (PSQI)) at enrollment and at the end of the intervention (34–36 weeks) were included. In a random subgroup of 106 women, the levels of cortisol and related metabolites were also measured. At the end of the intervention (34–36 weeks), participants in the Mediterranean diet group had significantly lower perceived stress and anxiety scores (PSS mean (SE) 15.9 (0.4) vs. 17.0 (0.4), p = 0.035; STAI-anxiety mean (SE) 13.6 (0.4) vs. 15.8 (0.5), p = 0.004) and better sleep quality (PSQI mean 7.0 ± 0.2 SE vs. 7.9 ± 0.2 SE, p = 0.001) compared to usual care. As compared to usual care, women in the Mediterranean diet group also had a more significant increase in their 24 h urinary cortisone/cortisol ratio during gestation (mean 1.7 ± SE 0.1 vs. 1.3 ± SE 0.1, p < 0.001). A Mediterranean diet intervention during pregnancy is associated with a significant reduction in maternal anxiety and stress, and improvements in sleep quality throughout gestation.