Risk factors associated with severe–critical COVID-19 (coronavirus disease 2019) are based on findings in the general population. Pregnant women are at increased risk of severe–critical infection, and few reports are based on these women. A multicentric case–control study was conducted at the Mexican Institute of Social Security, State of Mexico, during the COVID-19 pandemic. We included pregnant women who were consecutively admitted to respiratory care units and were followed until 30 days after the resolution of pregnancy. A total of 758 pregnant women with a positive RT-PCR test for SARS-CoV-2 were enrolled from June 2020 to July 2021. We defined groups using the World Health Organization Severity Classification; cases were pregnant women with severe–critical COVID-19 (n = 123), and controls were subjects with non-severe COVID-19 (n = 635). Data was gathered from clinical files. A multivariate logistic regression analysis was used to adjust odds ratios and their 95% confidence intervals of factors associated with severe–critical COVID-19. Risk factors associated with severe–critical COVID-19 in pregnancy were non-vaccination (OR 10.18), blood type other than O (OR 6.29), maternal age > 35 years (OR 5.76), history of chronic hypertension (OR 5.12), gestational age at infection ≥ 31 weeks (OR 3.28), and multiparity (OR 2.80).