Stress and anxiety are frequent occurrences among pregnant women. We aimed to evaluate the effects of a Mediterranean diet intervention during pregnancy on maternal stress, well-being, and sleep quality throughout gestation. In a randomized clinical trial, 1221 high-risk pregnant women were randomly allocated into three groups at 19-23 weeks' gestation: a Mediterranean diet intervention, a Mindfulness-Based Stress Reduction program, or usual care. All women who provided self-reported life-style questionnaires to measure their anxiety (State Trait Anxiety Inventory (STAI), Perceived Stress Scale (PSS)), well-being (WHO Five Well Being Index (WHO-5)), and sleep quality (Pittsburgh sleep quality index (PSQI)) at enrollment and at the end of the intervention (34-36 weeks) were included. In a random subgroup of 106 women, the levels of cortisol and related metabolites were also measured. At the end of the intervention (34-36 weeks), participants in the Mediterranean diet group had significantly lower perceived stress and anxiety scores (PSS mean (SE) 15.9 (0.4) vs. 17.0 (0.4), = 0.035; STAI-anxiety mean (SE) 13.6 (0.4) vs. 15.8 (0.5), = 0.004) and better sleep quality (PSQI mean 7.0 ± 0.2 SE vs. 7.9 ± 0.2 SE, = 0.001) compared to usual care. As compared to usual care, women in the Mediterranean diet group also had a more significant increase in their 24 h urinary cortisone/cortisol ratio during gestation (mean 1.7 ± SE 0.1 vs. 1.3 ± SE 0.1, < 0.001). A Mediterranean diet intervention during pregnancy is associated with a significant reduction in maternal anxiety and stress, and improvements in sleep quality throughout gestation.