This study aimed to assess sleep patterns during the three trimesters of pregnancy and whether vitamin D concentrations, along with other risk factors, are associated with these alterations. In a longitudinal study, 140 pregnant women (age 18 to 39 years) were followed throughout their first, second, and third trimesters. Sleep was measured using the Pittsburgh Sleep Quality Index (PSQI) at each trimester, along with an assessment of biochemical parameters, including serum vitamin D levels. The information that was collected included anthropometric data, socio-economic status, dietary intake, and physical activity. The PSQI was higher in mid and late pregnancy than in early pregnancy (both p = 0.001), and the sleep duration was also higher in late versus early pregnancy. Linear regression analyses revealed independent predictors of deteriorating sleep quality from early to late pregnancy, including low income (B ± SE −0.60 ± 0.26, p = 0.03) and low serum vitamin D levels in the second trimester (B ± SE −0.20 ± 0.01, p = 0.04). Energy intake and sitting in the second half of pregnancy were positively associated with changes in the PSQI score from the second to third trimesters (B ± SE 0.15 ± 0.07, p = 0.048) and (B ± SE 0.01 ± 0.00, p = 0.044), respectively. Low socio-economic status, low serum vitamin D levels, greater energy intake, and sitting time were associated with worsening patterns of sleep quality from early to late pregnancy.