The objective of this study was to compare the mental well-being of French women who were and were not pregnant during the first COVID-19 pandemic lockdown. We performed a nationwide online quantitative survey including all women between 18 and 45 years of age during the second and third weeks of global lockdown (25 March–7 April 2020). The main outcome measure was mental well-being measured by the Warwick–Edinburgh Mental Well-Being Scale (WEMWBS). This study analysed 275 responses from pregnant women and compared them with those from a propensity score–matched sample of 825 non-pregnant women. In this French sample, the median WEMWBS score was 49.0 and did not differ by pregnancy status. Women living in urban areas reported better well-being, while those with sleep disorders or who spent more than an hour a day watching the news reported poorer well-being. During the first lockdown in France, women had relatively low mental well-being scores, with no significant difference between pregnant and non-pregnant women. More than ever, health-care workers need to find a way to maintain their support for women’s well-being. Minor daily annoyances of pregnancy, such as insomnia, should not be trivialised because they are a potential sign of poor well-being.