Background: Pregnancy is an immune-suppressed state which makes pregnant women generally more susceptible to COVID-19 infection and severe illness. Extensive precautions have been recommended to avoid exposure to the virus. Knowledge and attitude toward the disease play an integral role in readiness to accept public health measures. This study aimed to assess the knowledge, attitude and practice towards COVID-19 among pregnant women attending antenatal clinics in three Wollega zones, Ethiopia. Methods: Institution-based cross-sectional study was employed among 415 pregnant women attending antenatal care at public hospitals in three Wollega zones, Ethiopia from July to August 2020. The data were collected using an interviewer-administered structured questionnaire. The level of knowledge was assessed using 12 multiple choice questions; the score of above or equal to mean was considered as adequate knowledge. Binary logistic regression was performed and the adjusted odds ratio with P-value </=0.05 at 95% CI was taken as statistically significant. Results: This study indicates that more than two-thirds (75.4%; 95% CI: 71.1-79.3%) and 43.6% of the pregnant women had adequate knowledge and good practice about the coronavirus pandemic, respectively. The pregnant women who attended secondary school and above and were urban residents were more likely to have good knowledge, AOR = 2.99 (1.7-5.0) and 1.6 (1.2-2.7), respectively. Maternal age </= 25 yearsand being an urban resident were the two predictors of good practice of preventive measures, AOR = 1.7 (1.2-2.6) and 2.3 (1.3-4.0), respectively. Conclusions and Recommendations: The target population demonstrated acceptable knowledge and poor practice toward COVID-19. Health-care providers should give more attention to educating pregnant women at any point of contact; legal enforcement should be implemented to improve practice of preventive measures. Special consideration should be given to those who are from rural areas, and to less-educated pregnant women.