Background. Several studies have identified pregnant women as a vulnerable group during the COVID-19 pandemic. The perinatal period has been identified as a stage of great risk for the mental health of pregnant women, due to a large increase in mental pathologies during this period. In this context, the objective of the present study was to assess the associations between socioeconomic and demographic factors, health concerns and health information management, and anxiety level during the COVID-19 pandemic in pregnant Spanish women. Method. The sample of this cross-sectional study was comprised of 353 pregnant women, aged 18 or older and residing in Spain. Data collection was carried out from 1 June to 30 September 2020. Participants were recruited from Quirónsalud University Hospital of Madrid. Multilevel regression models were built to value the associations between demographic factors, health concerns and health information management, and anxiety level during the COVID-19 pandemic among pregnant women. Results. Reduced working hours and income due to the COVID-19 pandemic were related to increased anxiety levels, as was the level of concern about COVID-19 symptoms, potential complications, contagion and consequences for the baby. Worries caused by restrictive measures adopted against COVID-19 and resulting isolation, delivery, postpartum and breastfeeding were also associated with increased anxiety levels. Being a separated or divorced woman and being informed to a greater extent by a midwife were related to lower anxiety levels. An increase in the degree of information obtained about COVID-19 symptoms, complications, contagion and consequences for the baby, restrictive measures and isolation adopted against COVID-19, delivery, postpartum and breastfeeding, were also related to decreased anxiety levels. Conclusions. The most vulnerable future mothers in terms of anxiety levels are those with reduced working hours and income due to the COVID-19 pandemic, those with a higher level of concern and who had access to a lesser degree of information about COVID-19 (symptoms and complications, contagion and consequences on the baby, restrictive measures and isolation, delivery, postpartum and breastfeeding), as well as pregnant women who have obtained information about COVID-19 during pregnancy from TV.