Background: Vitamin D deficiency (VDD) and high circulating cortisol during pregnancy have each been linked to adverse maternal and child outcomes, such as pre-term birth. However, limited research has explored the association between vitamin D concentration and cortisol concentration during pregnancy. Our objective for this study was to determine the association between vitamin D and cortisol concentrations among pregnant women. Methods: The Prenatal Health and Nutrition (PHAN) study was a pilot cross-sectional study conducted in targeted areas in Rhode Island which included 30 healthy pregnant women. Data collection included sociodemographic characteristics of participants, substance use, perceived stress, food insecurity, and dietary assessments. Additionally, blood samples were collected to estimate vitamin D status (25(OH)D). Participants provided 10 saliva samples over a two-day period, which were used to estimate cortisol concentrations using a competitive Enzyme-Linked Immunosorbent Assay (ELISA). Linear and logistic regression models were used to analyze the association between vitamin D status and cortisol concentrations. Results: Mean ± SD age was 29 ± 6 years, and pre-pregnancy BMI was 28 ± 6 kg/m². The mean ± SD of serum 25(OH)D concentration was 24 ± 9 ng/mL. The prevalence rates of VDD (<20 ng/mL) and vitamin D insufficiency (20–29 ng/mL) were 40% and 43%, respectively. In the unadjusted and adjusted linear regression models, there was no significant association between vitamin D status and cortisol concentration parameters such as AUCg (adjusted model β: 2.987, 95% CI: −7.269, 13.244, p = 0.57). Additionally, no significant association was observed in the logistic regression model. Conclusions: There were no significant associations between vitamin D and cortisol concentrations. Our study revealed a high prevalence of vitamin D deficiency and insufficiency. We advocate for screening of vitamin D status among pregnant women and the intake of vitamin D supplements. Future studies should explore prospective cohorts to examine the association between vitamin D and cortisol concentrations among pregnant women.