Objectives: Maternal undernutrition is a burning issue in Ethiopia. However, updated evidence is limited in the eastern part of the country; particularly the mental health-related factors of undernutrition. The study, hence, aimed at assessing the prevalence and predictors of undernutrition among rural pregnant women in eastern Ethiopia. Methods: A cross-sectional research was carried out at a community level among 1015 randomly selected pregnant women. A structured questionnaire was used to collect the data through face-to-face interviews. The characteristics of participants were described and summarized by frequencies, percentages, and summary measures. Logistic regression was performed to find out factors related to undernutrition. Results: The prevalence of undernutrition was 43.8% (95% confidence interval: 40.8, 47.0). Early marriage (adjusted odds ratio = 2.63, confidence interval: 2.00, 3.47), no antenatal care follow-up (adjusted odds ratio = 1.73, 95% confidence interval: 1.31, 2.29), inadequately diversified diet (adjusted odds ratio = 2.48, 95% confidence interval: 1.77, 3.48), current substance use (adjusted odds ratio = 1.50, 95% confidence interval: 1.02, 2.19), history of mental illness (adjusted odds ratio = 2.44, 95% confidence interval: 1.02, 5.82), and common mental disorders (adjusted odds ratio = 1.81, 95% confidence interval: 1.34, 2.43) were the significant predictors of undernutrition among pregnant women. Conclusions: Undernutrition was a significant public health issue among rural pregnant women. Age at first marriage, antenatal care follow-up, dietary diversity, current substance use, history of mental illness, and common mental disorder were the independent predictors of undernutrition. Therefore, the health offices of Kersa and Haramaya districts should invest their efforts to prevent undernutrition among pregnant women through nutrition counselling and education, and mental health and psychosocial support.