A high-quality diet during pregnancy may have positive effects on fetal growth and nutritional status at birth, and it may modify the risk of developing chronic diseases later in life. The aim of this study was to evaluate the association between diet quality and newborn nutritional status in a group of pregnant Mexican women. As part of the ongoing Mexican prospective cohort study, OBESO, we studied 226 healthy pregnant women. We adapted the Alternated Healthy Eating Index-2010 for pregnancy (AHEI-10P). The association between maternal diet and newborn nutritional status was investigated by multiple linear regression and logistic regression models. We applied three 24-h recalls during the second half of gestation. As the AHEI-10P score improved by 5 units, the birth weight and length increased (β = 74.8 ± 35.0 g and β = 0.3 ± 0.4 cm, respectively, p < 0.05). Similarly, the risk of low birth weight (LBW) and small for gestational age (SGA) decreased (OR: 0.47, 95%CI: 0.27–0.82 and OR: 0.55, 95%CI: 0.36–0.85, respectively). In women without preeclampsia and/or GDM, the risk of stunting decreased as the diet quality score increased (+5 units) (OR: 0.62, 95%IC: 0.40–0.96). A high-quality diet during pregnancy was associated with a higher newborn size and a reduced risk of LBW and SGA in this group of pregnant Mexican women.