This study aimed to investigate diet quality in healthy pregnant women based on the Na-to-K ratio from 24 h urine sample and food frequency questionnaire (FFQ), to compare dietary micro- and macronutrient intake with current nutritional recommendations (RDA), and to investigate whether gestational weight gain (GWG) is associated with Na-to-K ratio and diet quality during pregnancy in general. Sixty-four healthy pregnant women between 37 and 40 weeks of gestation participated in the study. Participants’ GWG, body composition, molar 24 h urine Na-to-K ratio, and FFQ data on average daily total energy, food groups, and micro-/macronutrient intake were obtained. A Na-to-K ratio of 2.68 (1.11–5.24) does not meet nutrition quality and is higher than the WHO recommendations due to excessive sodium and insufficient potassium intake. FFQ Na-to-K ratio was associated with a higher daily intake of soups, sauces, cereals, fats, and oils and a low intake of fruit and non-alcoholic beverages. A total of 49% of pregnant women exhibited excessive GWG, which was attributed to the increase in adipose tissue mass. GWG was not associated with total energy but may be the result of insufficient physical activity during pregnancy. Daily intake of vitamin D, vitamin E, folate, niacin, riboflavin, calcium, iron, and zinc was suboptimal compared to RDA.