Pregnancy is a unique thing in women’s life. Pregnant women are easier to become panic, worried, huffy, sensitive, and so on. The existence of the COVID-19 pandemic can be one of the factors that can increase anxiety in pregnant women. One of the internal factors that influence anxiety is knowledge. This study aims to analyze the relationship between the level of knowledge and the level of anxiety in pregnant women during the COVID-19 pandemic. This study used a cross-sectional method. The sampling technique was convenience sampling with a sample of 79 pregnant women in the work area of Purwokerto Selatan public health center. Data were analyzed using the chi-square test. The result showed that 57% of respondents had a good level of knowledge, 31,6% had sufficient knowledge, and 11,4% had insufficient knowledge. 24,1% of respondents had a severe level of anxiety, 70,9% had moderate anxiety, and 5,1% had mild anxiety. The results showed that 75,9% of pregnant women had moderate to mild anxiety during the COVID-19 pandemic. Health workers should intervene in pregnant women to deal with anxiety so that they can control their anxiety during the COVID-19 pandemic.