Background: Information regarding the incidence and characteristics of COVID-19 pneumonia amongst pregnant women is scarce. Methods: Single-centre experience with 32 pregnant women diagnosed with COVID-19 between March 5 to April 5, 2020 at Madrid, Spain. Findings: COVID-19 pneumonia was diagnosed in 61.5% (32/52) women. Only 18.7% (6/32) had some underlying condition (mostly asthma). Supplemental oxygen therapy was required in 18 patients (56.3%), with high-flow requirements in six (18.7%). Eight patients (25.0%) fulfilled the criteria for acute distress respiratory syndrome. Invasive mechanical ventilation was required in two patients (6.2%). Tocilizumab was administered in five patients (15.6%). Delivery was precipitated due to COVID-19 in three women (9.4%). All the newborns had a favourable outcome, with no cases of neonatal SARS-CoV-2 transmission. Severe cases of pneumonia requiring supplemental oxygen were more likely to exhibit bilateral alveolar or interstitial infiltrates on chest X-ray (55.6% vs. 0.0%; P-value = 0.003) and serum C-reactive protein (CRP) levels >10 mg/dL (33.0% vs. 0.0%; P-value = 0.05) at admission than those with no oxygen requirements. Interpretation: Pregnant women with COVID-19 have a high risk of developing pneumonia, with a severe course in more than half of cases. The presence of bilateral kung infiltrates and elevated serum CRP at admission may identify women at-risk of severe COVID-19 pneumonia. Funding: Instituto de Salud Carlos III (COV20/00,181), Spanish Ministry of Science and Innovation.