Background: The coronavirus disease 2019 (COVID-19) pandemic may have an effect on maternal anxiety and influence postpartum experience. Objective: To study the prevalence of maternal anxiety in late pregnancy in the context of the COVID-19 outbreak in Brazil and to analyze its association with maternal knowledge and concerns about the pandemic. Methods: This was a national multicenter cross-sectional study performed in 10 different public university hospitals, between 1 June and 31 August 2020, in Brazil. The inclusion criteria were: maternal age more than 18 years; gestational age more than 36 weeks at childbirth; single alive newborn without malformations; and absence of mental disorders. We applied a structured questionnaire to explore the knowledge and concerns about COVID-19. Maternal anxiety was assessed using the Beck Anxiety Inventory (BAI). Results: Of the 1662 women interviewed, the BAI score in late pregnancy indicated that 13.9% presented moderate and 9.6% severe maternal anxiety. Moderate or severe maternal anxiety was independently associated with the fear of being unaccompanied at childbirth (aOR1.12, 95% CI 1.10–1.35), and independent protective factors were confidence in knowing how to protect oneself from COVID-19 (aOR0.89, 95% CI 0.82–0.97) and how to safely breastfeed (aOR0.89, 95% CI 0.83–0.95). Conclusion: The COVID-19 pandemic has a significant impact on maternal anxiety.