Hypertensive pregnancy disorders put the maternal-fetal dyad at risk and are one of the leading causes of morbidity and mortality during pregnancy. Multiple efforts have been made to understand the physiological mechanisms behind changes in blood pressure. Still, to date, no study has focused on analyzing the dynamics of the interactions between the systems involved in blood pressure control. In this work, we aim to address this question by evaluating the phase coherence between different signals using wavelet phase coherence. Electrocardiogram, continuous blood pressure, electrocardiogram-derived respiration, and muscle sympathetic nerve activity signals were obtained from ten normotensive pregnant women, ten normotensive non-pregnant women, and ten pregnant women with preeclampsia during rest and cold pressor test. At rest, normotensive pregnant women showed higher phase coherence in the high-frequency band (0.15-0.4 Hz) between muscle sympathetic nerve activity and the RR interval, blood pressure, and respiration compared to non-pregnant normotensive women. Although normotensive pregnant women showed no phase coherence differences with respect to hypertensive pregnant women at rest, higher phase coherence between the same pairs of variables was found during the cold pressor test. These results suggest that, in addition to the increased sympathetic tone of normotensive pregnant women widely described in the existing literature, there is an increase in cardiac parasympathetic modulation and respiratory-driven modulation of muscle sympathetic nerve activity and blood pressure that could compensate sympathetic increase and make blood pressure control more efficient to maintain it in normal ranges. Moreover, blunted modulation could prevent its buffer effect and produce an increase in blood pressure levels, as observed in the hypertensive women in this study. This initial exploration of cardiorespiratory coupling in pregnancy opens the opportunity to follow up on more in-depth analyses and determine causal influences.