Background: COVID-19 with high infectivity and high concealment has been widely spread around the world. This major public health event has caused anxiety among the public, including pregnant women. The aim of this study was to assess the incidence of anxiety symptoms in pregnant women during the COVID-19 pandemic and its influencing factors.Methods: Using an ongoing prospective pregnancy registry, we performed a single center cross-sectional analysis to investigate the overall prevalence of anxiety symptoms among pregnant women during the COVID-19 pandemic. Online questionnaires were used to collect information including sociodemographic data, physical activity and economic situations. The Zung Self-Rating Anxiety Scale (SAS) was used to assess anxiety symptoms. The univariate regression analysis was performed to detect factors potentially influencing anxiety symptoms among pregnant women. The multivariate regression analysis was also conducted to analyze the association of physical exercise and economic burden with anxiety symptoms by adjusting for other variables.Results: A total of 1,517 pregnant women entered the analysis. The study reported that 31.64% of the respondents had anxiety symptoms. Those with bank loans were at higher odds of suffering from anxiety symptoms compared to those without bank loans [(adjusted odds ratio (aOR) 1.494, 95% confidence interval (CI) 1.181~1.889]. Those who took 2,000~5,000 steps/day (aOR 0.825, 95% CI 0.603~0.875) and >5,000 steps/day (aOR 0.924, 95% CI 0.439~0.945) were at lower odds of suffering from anxiety symptoms compared to those who took <500 steps/day. Similarly, the adjusted odds ratios for anxiety symptoms was 0.750 (95% CI 0.663~0.790) and 0.800 (95% CI 0.226~0.889) lower in participants with exercise frequencies of 4-6, and ≥7 times/week, compared to those with a frequency of <2 times/week.Conclusions: Three in ten pregnant women experienced anxiety symptoms during the COVID-19 pandemic, and anxiety symptoms showed association with bank loans and physical exercise. To prevent anxiety of pregnant women, the promotion of healthy lifestyles, improvement of mental health services, and expansion of social support should be implemented during epidemics. In parallel, the integration of psycho-educational interventions with mental health services among public health centers is required to minimize anxiety symptoms in pregnancy women.