Background: COVID-19 caused some worries among pregnant women. Worries during pregnancy can affect women’s well-being. We investigated worry and well-being and associated factors among pregnant women during the COVID-19 pandemic. Methods: This descriptive cross-sectional study was conducted on 484 pregnant women using an online questionnaire. Sampling was performed in a period between May 5 and Aug 5, 2020. Inclusion criteria were having a single healthy fetus and having no significant psychological disorder. We collected the data using the Persian versions of the World Health Organization’s Well-Being Index (WHO-5 Well-Being Index) and the Cambridge Worry Scale. We used univariate and multivariate logistic regression analyses to identify predictors of women’s worry and well-being. Results: The mean total scores of the WHO-5 Well-Being Index and the percentage of WHO-5 score < 50 were 64.9 ± 29.0 and 24.4%, respectively. Predictors of women’s worry are the increased level of fear of COVID-19 (OR = 6.40, p < 0.001), a low family income (OR = 3.41, p < 0.001), employment status (OR = 1.86, p = 0.019), nulliparity (OR = 1.68, p = 0.024), having a COVID-19 infected person among relatives (OR = 2.45, p = 0.036), having a history of abortion (OR = 1.86, p = 0.012), having participated in the study after the first wave of COVID-19 outbreak (OR = 2.328, p = 0.003), and women’s age < 30 year (OR = 2.11, p = 0.002). Predictors of low level of well-being in pregnant women are worry about their own health and relationships (OR = 1.789, p =.017), worry about fetus health (OR = 1.946, p = 0.009), and having at least one infected person with COVID-19 among relatives (OR = 2.135, p = 0.036). Conclusions: The percentage of women experiencing a low well-being state was relatively high. This result is worthy of attention by health care providers and policy makers. Providing care and support to pregnant women should have high priority during the COVID-19 pandemic.