Several studies have reported the susceptibility of pregnant women to emotional instability and stress. Thus, pregnancy may be a risk factor that could deepen the already negative effects of the current COVID-19 pandemic. Therefore, the aim of this study is to analyze longitudinally the psychopathological consequences of the pandemic in pregnant women, and to explore differences with non-pregnant women. The participants in this study were 102 pregnant women, and a control group of 102 non-pregnant women (most of them reported having university studies and little financial impact from the pandemic). They completed the Beck Depression Inventory-II, the State-Trait Anxiety Inventory, and the Positive and Negative Affect Schedule, in three different times (2, 14, and 47 days after the start of the lockdown). In a time range of 50 days of quarantine, all women showed a gradual increase in psychopathological indicators and a decrease in positive affect. Pregnant women showed a more pronounced increase in depression, anxiety and negative affect than the non-pregnant women did. In addition, pregnant women showed a more pronounced decrease in positive affect. It is important for institutions dedicated to perinatal health care to count on empirical information to optimize the provision of their services.