Pregnancy is a stage in a woman’s life when she is more open to receiving health advice, especially related to diet. However, women are often caught between receiving scientifically unfounded myths and concrete empirical knowledge. Culturally perpetuated myths may be acted upon more than knowledge, but research on these concepts, especially in the Americas, is scarce. This cross-sectional study aimed to describe the frequency of diet and nutrition myths and knowledge and describe the associated factors in pregnant mothers receiving care in Mexico City. A total of 695 pregnant adults and 322 pregnant adolescents participated in this study, in which they responded to a questionnaire on nutrition and diet myths, knowledge, and practice during pregnancy and breastfeeding. The myths were examined individually, but for the purposes of statistical analysis, a score was obtained. We compared means of variables that could be associated to myth and knowledge scores, then calculated linear and logistical regressions. Forty-six percent of participants had below the mean myth scores. Ninety-two percent of participants had a knowledge score below the mean. Age (β = 0.025, SE 0.007, 95% CI 0.011–0.040, p = 0.001) and years of education (β = 0.166, SE 0.024, 95% CI 0.119–0.213, p = 0.001) explained the myth’s score, while age explained the knowledge score (β = 0.011, SE 0.020, 95% CI −0.032–−0.008, p = 0.002). We found that although most women reported not believing in the myths, they acted on them. The probability of practicing such myths as “You must eat for two during pregnancy” was associated with being an adolescent (OR 1.76, p = 0.001) and being married (OR 1.47, p = 0.007), “Not satisfying cravings leave a mark on the infant’s body” with being adolescent (OR 1.59, p = 0.003) and low socioeconomic level (OR 1.41, p = 0.038), “A frightened or angry mother should not nurse her baby” with being adult (OR 2.61, p = 0.004), and “Drinking atole or beer enhances breast milk production” with being single (OR 2.07, p = 0.001). The probability of not acting on some knowledge was associated with being an adolescent (p ≤ 0.003) and having a high school education or below (p ≤ 0.046). Almost all of our participants held at least one myth about nutrition and diet during pregnancy and breastfeeding; younger participants showed a higher frequency of holding myths. Years of schooling and age were associated with acting on myths and not acting on correct knowledge.