The outbreak of a pandemic has negative psychological effects. We aimed to determine the impact of the SARS-CoV-2 pandemic during pregnancy and identify the risk factors for maternal well-being. A multicenter, prospective, population-based study was carried out that included women (n = 1320) who were pregnant during the SARS-CoV-2 pandemic in Barcelona (Spain) compared against a pre-pandemic cohort (n = 345). Maternal well-being was assessed using the validated World Health Organization Well-Being Index Questionnaire (WHO-5 Index). Pregnant women attended during the COVID-19 pandemic showed worst WHO-5 well-being scores (median (IQR) of 56 (36–72) for the pandemic cohort vs. 64 (52–76) for the pre-pandemic cohort p < 0.001), with 42.8% of women presenting a poor well-being score vs. 28% for the pre-pandemic cohort (p < 0.001). Presence of a previous psychiatric disorder (OR 7.1; 95% CI 2.6–19, p < 0.001), being in the third trimester of pregnancy (OR 1.7; 95% CI 1.5–2, p < 0.001), or requiring hospital admission for COVID-19 (OR 4.7; 95% CI 1.4–16.7, p = 0.014), significantly contributed to low maternal well-being during the COVID-19 pandemic (multivariate analysis). Being infected by SARS-CoV-2 was not associated with a lower well-being score. We conclude that, during the COVID-19 pandemic, there were higher rates of poor maternal well-being; the infection of SARS-CoV-2 itself did not worsen maternal well-being, but other factors as psychiatric disorders, being in the third trimester of pregnancy or hospital admission for COVID-19 disease did.