Introduction: The coronavirus disease 2019 (COVID-19) pandemic and the associated regulations issued to minimize risk of disease transmission seem to have had an impact on general mental health in most populations, but it may have affected pregnant women even more because of pregnancy-related uncertainties, limited access to healthcare resources, and lack of social support. We aimed to compare the mental health response among pregnant women with that in similarly aged women from the general population during the first wave of the COVID-19 pandemic. Material and methods: From April 14 to July 3, 2020, 647 pregnant women in their second trimester were enrolled in this study. For comparison, 858 women from the general Danish population (20–46 years) were sampled from an ongoing observational study. Participants responded to a questionnaire including six mental health indicators (concern level, perceived social isolation, quality of life, anxiety, mental health, and loneliness). Loneliness was measured using the UCLA Three-item Loneliness Scale and anxiety by the Common Mental Health Disorder Questionnaire 4-item Anxiety Subscale. Results: The pregnant women had better scores during the entire study period for all mental health indicators, and except for concerns, social isolation, and mental health, the differences were also statistically significant. Pregnant women were more concerned about becoming seriously ill (40.2% vs. 29.5%, p < 0.001), whereas the general population was more concerned about economic consequences and prospects. Many pregnant women reported negative feelings associated with being pregnant during the COVID-19 pandemic and concerns regarding social isolation and regulation-imposed partner absence during hospital appointments and childbirth. All mental health indicators improved as Denmark began to reopen after the first wave of the pandemic. Conclusions: Pregnant women exhibited lower rates of poor mental health compared with the general population. However, they were more concerned about becoming seriously ill, expressed negative feelings about being pregnant during the pandemic, and were worried about the absence of their partner due to imposed regulations. These finding may be taken into account by policy-makers during pandemics to balance specific preventive measures over the potential mental health deterioration of pregnant women.