(1) Background: This study aimed to analyze the impact of the confinement due to the COVID-19 pandemics on the eating, exercise, and quality-of-life habits of pregnant women. (2) Methods: This was an internet-based cross-sectional survey which collected information about adherence to the Mediterranean diet, physical exercise, health-related quality of life (HRQoL), and perceived obstacles (in terms of exercise, preparation for delivery, and medical appointments) of pregnant women before and after the confinement. The survey was conducted in 18–31 May 2020. (3) Results: A total of 90 pregnant women participated in this study. There was a significant decrease in the levels of physical activity (p < 0.01) as well as in HRQoL (p < 0.005). The number of hours spent sitting increased by 50% (p < 0.001), 52.2% were unable to attend delivery preparation sessions because these had been cancelled. However, there were no significant differences in the eating pattern of these women (p = 0.672). Conclusions: These results suggest the need to implement specific online programs to promote exercise and reduce stress, thus improving the HRQoL in this population, should similar confinements need to occur again for any reason in the future.