Objective: To compare the mental well-being of French women who were and were not pregnant during the first COVID-19 pandemic lockdown. Design: Survey. Setting: France. Population: Women between 18 and 45 years of age during the second and third weeks of global lockdown (March 25–April 07, 2020) during the COVID-19 pandemic. Methods: Nationwide online quantitative survey. Main Outcome Measures: Mental well-being measured by the Warwick-Edinburgh Mental Well-Being Scale (WEMWBS). Results: This study analysed 275 responses from pregnant women and compared them with those from a propensity score–matched sample of 825 non-pregnant women. 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. Conclusion: 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.