While nutrition during pregnancy is critical for the health of both mother and child, little is known about the diet quality of women during pregnancy, its correlation with gestational weight gain (GWG)/body composition, and chosen maternal adipokines. Therefore, we evaluated the Healthy Eating Index (HEI) of 110 pregnant women and analyzed its correlation with GWG/body composition, physical activity, leptin, resistin, adiponectin, and interleukin 6 (IL-6), respectively. Diet quality was medium in 63% of women, characterized by a high intake of animal-based products. HEI was negatively influenced by pre-pregnancy obesity (β = −0.335, p = 0.004), and positively influenced by higher age (>35 yrs., β = 0.365, p ≤ 0.001), upper arm circumference (β = 0.222, p = 0.052), and total activity during the third trimester (β = 0.258, p = 0.008). GWG was associated with pre-pregnancy obesity (β = −0.512, p ≤ 0.001), thigh circumference (β = 0.342, p = 0.007), upper arm fat area (β = 0.208, p = 0.092), and maternal age group (>35 yrs. β = −0.166, p = 0.082), but not with HEI. Leptin and IL-6 displayed associations with variables representative of body composition, such as pre-pregnancy BMI, thigh circumference, upper arm fat area, and upper arm circumference, but were not influenced by HEI. Neither were adiponectin and resistin. IL-6 was also associated with total activity. In conclusion, GWG, leptin, and IL-6 were influenced by nutritional status (body composition/pre-pregnancy BMI), not by maternal diet. Physical activity level also had an impact on IL-6. Thus, efforts should be intensified to improve diet quality and participation in sports before and during pregnancy, particularly in overweight or obese women.