Background The COVID-19 pandemic raises health issues worldwide. Infected pregnant women may have negative mental health outcomes, but little is known about their emotional experiences. Aim We aimed to understand the experience of women infected with COVID-19 during pregnancy, regarding their feelings, their relationships, and the influence of social media. Methods We conducted a qualitative study among 22 women infected with COVID-19 during pregnancy, from a tertiary hospital during the first wave of the pandemic in Brazil (May–August 2020). We applied semi-directed interviews, sociodemographic and health data sheets, and field diaries. We built the sample purposefully. Interviews were audio-recorded and transcribed verbatim. We used thematic analysis and discussed data considering the health psychology framework. Results We created five categories following a timeline perspective, from before infection to the experience after recovering. Pregnant women were resistant to believing the diagnosis. They described a fear of serious symptoms or death, concerns about the fetus, sorrow from being isolated, and worries about stigma. Family relationships were ambiguous, generating either support or tension. The attachment to the health team through telemedicine or support during hospitalization produced a feeling of security. Conclusions Participants psychologically denied the COVID-19 diagnosis and did not accomplish isolation properly, even upon medical recommendations. The illness may produce a traumatic experience, regardless of mild or severe symptoms, but family/friend support and contact with the health team helped them to cope. We offer important insights for the clinical approach and future research, emphasizing that infected pregnant women require emotional support.