The first national lockdown in Denmark due to the COVID-19 pandemic was declared on 11 March 2020. From this date, national restrictions were imposed. We aimed to assess the potential influence of this first nationwide lockdown on exercise, alcohol consumption, and smoking in early pregnancy. Using a cross-sectional study based on routinely collected patient-reported data, we compared the lifestyle habits of women who were pregnant during the first phase of the pandemic (COVID-19 group) (n = 685) with those of women who were pregnant the year before (Historical group) (n = 787). We found a reduction in any exercise (PR = 0.91, 95% CI (0.84 to 0.99), in adherence to national recommendations of exercise (PR = 0.89, 95% CI (0.80 to 0.99), in cycling (15% vs. 28%, p < 0.0001), and swimming (0.3% vs. 3%, p = 0.0002) in the COVID-19 group compared with the Historical group. The prevalence of binge drinking was reduced in the COVID-19 group compared with the Historical group (PR = 0.80, 95% CI (0.68 to 0.93). In contrast, the prevalence of any weekly alcohol consumption and smoking cessation during pregnancy was similar between groups. Our findings indicate that national restrictions due to the COVID-19 pandemic influenced the lifestyle habits of pregnant women and should be addressed in antenatal counseling.