The objectives of the current study were to identify risk factors for SARS-CoV-2 positivity, and to address how different testing strategies, choice of comparison group, and population background characteristics may influence observed associations. National registries data for 107,627 pregnant women in Sweden and 81,195 in Norway, were used to identify risk factors for SARS-CoV-2, separately for women under non-universal testing (testing by indication) and universal testing (testing of all pregnant women in contact with a delivery ward). We also investigated underlying characteristics associated with testing for SARS-CoV-2. Overall, 2.1% of pregnant women in Sweden and 1.1% in Norway were test-positive during the pandemic's first 18 months. We show that the choice of test strategy for SARS-CoV-2 provided different associations with risk factors for the disease; for instance, women who were overweight, obese or had gestational diabetes had increased odds of being test-positive under non-universal testing, but not under universal testing. Nevertheless, a consistent pattern of association between being born in the Middle East and Africa and test-positivity was found independent of test strategy and in both countries. These women were also less likely to get tested. Our results are useful to consider for surveillance and clinical recommendations for pregnant women during the current and future pandemics.