Introduction: A pandemic may negatively influence psychological well-being in the individual. We aimed to assess the potential influence of the first national lockdown in Denmark (March to June 2020) due to the COVID-19 pandemic on psychological well-being and the content and degree of worries among pregnant women in early pregnancy. Material and methods: In this hospital-based cross-sectional study based on self-reported data we compared psychological well-being and worries among women who were pregnant during the first phase of the pandemic (COVID-19 group) (n = 685), with women who were pregnant the year before (Historical group) (n = 787). Psychological well-being was measured by the five-item World Health Organization Well-being Index (WHO-5), using a score ≤50 as indicator of reduced psychological well-being. Differences in WHO-5 mean scores and in the prevalence of women with score ≤50 were assessed using general linear and log-binomial regression analyses. The Cambridge Worry Scale was used to measure the content and degree of major worries. To detect differences between groups, Pearson’s Chi-square test was used. Results: We found no differences in mean WHO-5 score between groups (mean difference) 0.1 (95% CI −1.5 to 1.6) or in the prevalence of women with WHO-5 score ≤50 (prevalence ratio 1.04, 95% CI 0.83–1.29) in adjusted analyses. A larger proportion of women in the COVID-19 group reported major worries about Relationship with husband/partner compared with the Historical group (3% [n = 19] vs 1% [n = 6], p = 0.04), and 9.2% in the COVID-19 group worried about the possible negative influence of the COVID-19 restrictions. Conclusions: Our findings indicate that national restrictions due to the COVID-19 pandemic did not influence the psychological well-being or the content and degree of major worries among pregnant women. However, a larger proportion of women in the COVID-19 group reported major worries concerning Relationship with husband/partner compared with the Historical group and 9.2% in the COVID-19 group worried about the possible negative influence of the COVID-19 restrictions.