Background: Maternal stress, anxiety, well-being, and sleep quality during pregnancy have been described as influencing factors during pregnancy. Aim: We aimed to describe maternal stress, anxiety, well-being, and sleep quality in pregnant women throughout gestation and their related factors. Methods: A prospective study including pregnant women attending BCNatal, in Barcelona, Spain (n = 630). Maternal stress and anxiety were assessed by the Perceived Stress Scale (PSS) and State-Trait Anxiety Inventory (STAI)-validated questionnaires. Maternal well-being was assessed using the World Health Organization Well-Being Index Questionnaire (WHO-5), and sleep quality was assessed using the Pittsburgh Sleep Quality Index Questionnaire (PSQI). All questionnaires were obtained twice during the second and third trimester of pregnancy. A multivariate analysis was conducted to assess factors related to higher maternal stress and anxiety and worse well-being and sleep quality. Results: High levels of maternal stress were reported in 23.1% of participants at the end of pregnancy, with maternal age <40 years (OR 2.02; 95% CI 1.08–3.81, p = 0.03), non-white ethnicity (OR 2.09; 95% CI 1.19–4.02, p = 0.01), and non-university studies (OR 1.86; 95% CI 1.08–3.19, p = 0.02) being the parameters mostly associated with it. A total of 20.7% of women had high levels of anxiety in the third trimester and the presence of psychiatric disorders (OR 3.62; 95% CI 1.34–9.78, p = 0.01) and non-university studies (OR 1.70; 95% CI 1.11–2.59, p = 0.01) provided a significant contribution to high anxiety at multivariate analysis. Poor maternal well-being was observed in 26.5% of women and a significant contribution was provided by the presence of psychiatric disorders (OR 2.96; 95% CI 1.07–8.25, p = 0.04) and non-university studies (OR 1.74; 95% CI 1.10–2.74, p = 0.02). Finally, less sleep quality was observed at the end of pregnancy (p < 0.001), with 81.1% of women reporting poor sleep quality. Conclusion: Maternal stress and anxiety, compromised maternal well-being, and sleep quality disturbances are prevalent throughout pregnancy. Anxiety and compromised sleep quality may increase over gestation. The screening of these conditions at different stages of pregnancy and awareness of the associated risk factors can help to identify women at potential risk.