Micronutrient deficiencies during pregnancy are common in Africa and can cause adverse outcomes. The objective was to measure micronutrient status and change in moderately malnourished pregnant Malawian women randomized to one of three nutritional interventions. Serum vitamin B₁₂, 25-hydroxyvitamin D, folate, retinol, ferritin, zinc, albumin and C-reactive protein were measured in pregnant women with MUAC ≥20.6 cm and ≤23.0 cm at enrollment (n = 343) and after 10 weeks (n = 229) of receiving: (1) ready-to-use supplementary food (RUSF); (2) fortified corn-soy blend (CSB+) with multiple-micronutrient supplement (CSB+UNIMMAP); or (3) CSB+ with iron and folic acid (CSB+IFA). Each provided 100–300% Recommended Dietary Allowance of most micronutrients and 900 kcal/day. Birth length was measured in 272 infants. Enrollment measurements indicated deficiencies in vitamin B₁₂ (20.9%) and zinc (22.3%), low values of ferritin (25.1%) and albumin (33.7%), and elevated CRP (46.0%). Vitamin B₁₂ is known to decrease in the third trimester; the RUSF group had the smallest decrease from enrollment to week 10 (3%), compared to 20% decrease in the CSB+IFA group and 8% decrease in the CSB+UNIMMAP group (p = 0.001). Mean serum 25-hydroxyvitamin D increased most in the RUSF group (+6.4 ng/mL), compared to CSB+IFA (+1.7 ng/mL) and CSB+UNIMMAP (+2.7 ng/mL) (p < 0.001). Micronutrient deficiencies and inflammation are common among moderately malnourished pregnant women and had little improvement despite supplementation above the RDA, with the exception of vitamins B₁₂ and D.