Current medical guidelines consider pregnant women with COVID-19 to be a high-risk group. Since physiological gestation downregulates the immunological response to maintain “maternal-fetal tolerance”, SARS-CoV-2 infection may constitute a potentially threatening condition to both the mother and the fetus. To establish the immune profile in pregnant COVID-19+ patients, a cross-sectional study was conducted. Pregnant women with COVID-19 (P-COVID-19+; n = 15) were analyzed and compared with nonpregnant women with COVID-19 (NP-COVID-19+; n = 15) or those with physiological pregnancy (P-COVID-19-; n = 13). Serological cytokine and chemokine concentrations, leucocyte immunophenotypes, and mononuclear leucocyte responses to polyclonal stimuli were analyzed in all groups. Higher concentrations of serological TNF-α, IL-6, MIP1b and IL-4 were observed within the P-COVID-19+ group, while cytokines and chemokines secreted by peripheral leucocytes in response to LPS, IL-6 or PMA-ionomicin were similar among the groups. Immunophenotype analysis showed a lower percentage of HLA-DR+ monocytes in P-COVID-19+ than in P-COVID-19- and a higher percentage of CD39+ monocytes in P-COVID-19+ than in NP-COVID-19+. After whole blood polyclonal stimulation, similar percentages of T cells and TNF+ monocytes between groups were observed. Our results suggest that P-COVID-19+ elicits a strong inflammatory response similar to NP-COVID19+ but also displays an anti-inflammatory response that controls the ATP/adenosine balance and prevents hyperinflammatory damage in COVID-19.