Nutrition during pregnancy is one of the most important factors that determine the health of a mother and the proper development of her fetus. The main objective of this study was to analyze the association between adherence to a Mediterranean dietary (MedDiet) pattern and cardiovascular (CV) risk factors in pregnant women. Accordingly, we carried out an observational, population-based study using data from pregnant women present in a hospital during the entire course of their pregnancy. Adherence to the MedDiet was assessed using the MedDiet score questionnaire. Our study identified that 87.25% (95%CI: 83.48–90.27) of the women had a cardiovascular risk in relation to their dietary intake. Women with diet-related CV risk were more likely to smoke (p = 0.004), weighed more at the beginning of pregnancy, engaged in little physical activity, and had lower adherence to the MedDiet pattern than women without a diet-related CV risk. Dietary analysis showed low consumption of cereals, vegetables, and fish, which failed to satisfy the recommended portions in Spain. Adequate adherence to the MedDiet was found for 54.2% of women who were considered to be without CV risk and 45.8% of women with CV risk. Our data suggest that the MedDiet could be improved in relation to the consumption of cereals, vegetables, and fish during pregnancy in order to reduce CV risk.