A good diet during pregnancy is associated with improvements to maternal and fetal health. Nevertheless, excessive weight gain during pregnancy has been reported in several studies. The aim of this review is to determine the dietary habits of pregnant women (measured according to their degree of adherence to the Mediterranean diet, a reference in dietary quality), their knowledge of food and nutrition, and their perceptions of the nutritional education received during their pregnancy, in order to detect intervention needs within that group. The bibliographic search was conducted on three databases (Medline, PubMed central, and Web of Science), using the keywords “pregnancy”, “Mediterranean diet”, “nutrition knowledge”, “nutritional education”, and some synonyms. The final selection included 68 original articles. The available evidence indicated that, although pregnant women were aware of the importance of nutrition during pregnancy, their habits showed some room for improvement in terms of diet and physical exercise. Lack of adequate advice was the main barrier to the practice of healthy habits that pregnant women encountered; they considered that the information they received during pregnancy follow-up visits was inadequate. However, the success of interventions within different countries is a source of hope for well-structured nutrition education throughout pregnancy. The lack of nutrition-related knowledge among pregnant women could be originally related to poorly planned nutrition education from healthcare providers. Research focused on the consultations with these healthcare providers could be of help when proposing strategies to improve the content, the depth, and the duration of nutrition education sessions. It should, in any case, be noted that the available evidence in this field is limited to certain geographical origins. Therefore, research that uncovers evidence in different countries will be useful for learning about the factors that condition the habits of pregnant women and, in that way, guide strategies for the improvement of the health of expectant mothers during that stage in their lives.