Previous pandemics and related lockdowns have had a deleterious impact on pregnant women’s mental health. We studied the impact of the SARS-CoV-2/Covid-19 pandemic and France’s first lockdown on pregnant women’s mental health. A cross-sectional study was conducted in July 2020 using a web-questionnaire completed by 500 adult women who were pregnant during the first lockdown in France (March-May 2020). Questions focused on their self-perceived psychological state and affects they felt before and during the lockdown and anxiety symptomatology (HAD) two months after it ended. A robust variance Poisson regression model was used to estimate adjusted prevalence ratios (aPR) for anxiety and self-perceived psychological state evolution. One in five respondents (21.1%) reported psychological deterioration during lockdown. Associated determinants were: i) little or no social support (self-perceived) (aRP = 1.77, 95%CI[1.18–2.66]), ii) increased workload (1.65, [1.02–2.66]), and iii) poor/moderate knowledge about SARS-CoV-2 transmission (1.60, [1.09–2.35]). Seven percent of women reporting psychological deterioration had access to professional psychological support during lockdown, while 19% did not despite wanting it. Women reported heightened powerlessness (60.3%), frustration (64%) and fear (59.2%) during lockdown. One in seven respondents (14.2%, 95%CI[10.9–18.2]) had anxiety symptoms. Determinants associated: i) at least one pregnancy-related pathology (aPR = 1.82, 95%CI[1.15–2.88]), ii) overweightness or obesity (1.61, [1.07–2.43]), iii) one child under the age of six years in the household during the lockdown (3.26, [1.24–8.53]), iv) little or no social support (self-perceived) during the lockdown (1.66, [1.07–2.58]), v) friend or relatives diagnosed with Covid-19 or with symptoms of the disease (1.66; [1.06–2.60]), vi) no access to medication for psychological distress (2.86, [1.74–4.71]), and vii) unsuccessfully seeking exchanges with healthcare professionals about their pregnancy during the pandemic (1.66, [1.08–2.55]). Our results can guide prevention and support policies for pregnant women during pandemics, current or future, with or without lockdowns. Preventing perinatal mental health problems is essential to ensure a supportive environment for the child’s development.