Food insecurity may affect women’s health; however, pertinent research is scant among pregnant women. This study investigated the association of household food insecurity (HFI) with the nutritional status and mental health of 672 early-gestation (5–16 weeks) pregnant women with a singleton fetus, who participated in the screening activity of a community-based trial (NCT04868669) in Matlab, Bangladesh. Height (cm), weight (kg), body mass index (kg/m2), mid-upper arm circumference (MUAC) (cm), depression, anxiety, and stress were the outcomes studied. HFI was assessed using the Household Food Insecurity Access Scale. Women’s depression, anxiety, and stress were assessed using the Depression, Anxiety, and Stress Scales-21. Propensity score matching based weighted multivariable linear and logistic regression were used to evaluate the independent association of HFI with the outcomes. In adjusted models, pregnant women from food-insecure households in rural Matlab were on average 2.0 cm shorter (β = −2.0, 95% CI: −3.3, −0.7), 2.0 kg lighter (β = −2.0, 95% CI: −3.4, −0.7), and had 0.6 cm lower MUAC (β = −0.6, 95% CI: −1.1, −0.1) than their food-secure counterparts. HFI was associated with higher odds of depression (OR = 3.3, 95% CI: 1.8, 5.9), anxiety (OR = 6.1, 95% CI: 3.7, 10.0), and stress (OR = 4.8, 95% CI: 1.6, 14.2) among the women. Public health measures should focus on ensuring proper nutrition during the critical growth periods of life, pregnancy, and external environmental shocks, to mitigate the adverse effects of HFI on women’s health.