The International Federation of Gynecology and Obstetrics (FIGO) nutrition checklist is a tool for everyday antenatal clinical practice, easy to use by most healthcare professionals, aiming to initiate a conversation regarding gestational weight gain (GWG) and nutrition and identify women who might require further assessment. The present cross-sectional study aimed to apply the FIGO nutrition checklist to pregnant women attending routine antenatal care and identify nutritional risk factors. Pregnant women (n = 200) were recruited from the outpatient pregnancy clinics of two hospitals in Thessaloniki and completed the checklist. The FIGO-diet quality score and the FIGO-nutritional risk score (NRS) were calculated. The results revealed that 99% of the women exhibited at least one nutritional risk factor based on the checklist. The median FIGO diet quality score of the sample was 4.0 (3.0–5.0), with 95% of the participants responding negatively to at least one question, indicating the need for improving diet quality. Improved diet quality was noted in cases of hyperemesis gravidarum and among those receiving vitamin D supplements. A large percentage of the participants (36%) exhibited five or more nutritional risk factors, as indicated by a total FIGO-NRS below 5. Women with low middle-upper arm circumference, indicative of protein-energy malnutrition (20.6% of the sample), exhibited more nutritional risk factors compared with the rest. On the other hand, being in the third trimester of pregnancy was associated with lower nutritional risk and, subsequently, better diet quality.