Objective: Evaluating the occurrence of anxiety in pregnant women and the factors associated with its occurrence; comparing the presence of anxiety in each gestational trimester. Method: A descriptive, correlational cross-sectional study. Data were collected from January to May 2013 using the Hospital Anxiety Subscale and a form composed of socioeconomic characterization; gestational anamnesis; life-changing habits and events; preexisting conditions and interpersonal relationships. Results: A total of 209 pregnant women from a municipality in the south of Minas Gerais, Brazil, participated in the study. Anxiety was present in 26.8% of the pregnant women, being more frequent in the third trimester (42.9%). Occupation (p=0.04), complications in previous pregnancies (p=0.00), history of miscarriage risk of preterm birth (p=0.05), maternal desire regarding the pregnancy (p=0.01), number of abortions (p=0.02), number of cigarettes smoked daily (p=0.00) and drug use (p=0.01) were statistically associated with the occurrence of anxiety during pregnancy. Conclusion: Anxiety occurred frequently during pregnancy. Understanding the factors associated with its occurrence allows for elaborating preventive measures in prenatal care.