Background Self-medication is the use of drugs without a medical prescription to treat self-identified illnesses; it is also the continued use of drugs without a physician’s order for recurring symptoms, either by sharing or purchasing them from unlicensed vendors. It entails substantial risk to pregnant women and fetuses. Magnitude of the problem and its factors among rural pregnant women is not studied in Ethiopia. Objective This study aimed to assess the prevalence of self-medication practice and identify its associated factors among pregnant women in rural Southwest Shewa, Ethiopia. Methods A cross-sectional study was conducted on 585 randomly selected pregnant women in selected rural public health institutions from May to July 2021. Data was collected by using an interviewer-administered pretested structured questionnaire. Multivariable logistic regression was used to identify factors associated with self-medication. Variables with p- value <0.05 for the 95% confidence interval of the adjusted odds ratio were considered statistically significant. Results A total of 585 pregnant women participated in the study with a response rate of 92.3%. The prevalence of self-medication among pregnant women was 19.8%. Primigravidity (AOR = 2.7, 95% CI: 1.2–6.1), lower educational status of husbands (AOR = 3.6, 95% CI: 1.02–12.9), living close to health facilities (AOR = 0.23, 95% CI: 0.09–0.6) and knowing one’s own gestational age (AOR = 0.5,95% CI: 0.30–0.9) were significantly associated with self-medication practice. Conclusion and Recommendation One in five of the pregnant women practiced self-medication during the current pregnancy. Primigravidity and lower educational status of husbands were associated with a higher probability of self-medication. Knowing gestational age and living close to health facilities were associated with a lower likelihood of practicing self-medication. Rational drug use has to be promoted among pregnant women. Maternal and child health interventions should also target husbands. Health education has to be strengthened to help pregnant women have a safe pregnancy.