Purpose This study explored the impact of COVID-19 on the mental health and adaptation of behavior of Zhuang women in China to provide more specific guidance for the social and medical practice of pregnant women during public health emergencies. Participants and Methods This cross-sectional study recruited 446 pregnant Zhuang women from obstetric outpatient clinics in four tertiary hospitals and online maternity schools in Nanning, Guangxi, between February 24 and March 1, 2020. Self-designed questionnaires and the Self-Rating Anxiety Scale were used. Results During the COVID-19 pandemic, the prevalence rate of anxiety among women was 36.77%, and some adaptation of behavior was observed. Logistic regression analysis showed that pregnant women who had an annual household income of less than $7,000, were primiparous, went out for prenatal examination, wanted to self-monitor during pregnancy but did not know how to do it, believed that they should be strictly isolated at home and cancel prenatal examinations, and expected to receive pregnancy healthcare through teleconsultation services showed a higher risk of anxiety. Nevertheless, pregnant Zhuang women who were 22–35 years old, undergraduate-educated, and in their second trimester were less likely to suffer from anxiety. Conclusion The COVID-19 pandemic has a significant psychological impact on pregnant women from ethnic minorities. Factors related to quarantine and social isolation policies appear to drive changes in behaviors and anxiety disorders. Multidisciplinary mental health services and culturally sensitive interventions are necessary for minority pregnant women, especially for low-income primiparous women in the first or third trimester.