There are numerous dietary recommendations during pregnancy. However, there are limited recommendations during the lactation period, a nutritionally vulnerable period for women. The Mediterranean Diet and adherence to the Healthy Food Pyramid (HFP) is considered as the standard for healthy eating. In this study, we investigated the differences in adherence to the HFP in pregnant, lactating, and non-pregnant/non-lactating (NPNL) women concerning sociodemographic factors. A sociodemographic and nutritional and lifestyle questionnaire (AP-Q) were used to assess adherence to the HFP, including lifestyle. The AP-Q score ranges from 0 to 10 meaning the higher the score, the greater the adherence to the HFP. Lactating women had the lowest AP-Q score (6.13 [5.31; 6.82]) compared to the pregnant (6.39 [5.56; 7.05]) and NPNL women (6.27 [5.43; 6.88]), while pregnant women had the highest scores. Maternal age was positively correlated with AP-Q score in pregnant (rho = 0.22; p-Value < 0.001) and lactating women (rho = 0.18; p-Value < 0.001), but not in NPNL women. Educational level and monthly income had a positive influence on the degree of adherence to the HFP. In conclusion, breastfeeding mothers of young age and low socioeconomic and educational level would be the target population to carry out nutritional interventions that improve their adherence to the HFP. The knowledge gained from this study can help to design recommendation guidelines and nutritional educational interventions for a given population.