A diet based on ultra-processed food (UPF) does not meet nutritional needs, especially during pregnancy. The aim of this study is to assess the change in UPF consumption from preconception to pregnancy and associated factors. Our hypothesis is that women tend to adopt a healthier eating pattern during pregnancy, decreasing the intake of UPF and increasing the intake of unprocessed/minimally processed foods. A prospective cohort study with 326 participants was carried out from 2016 to 2019 in 2 health units in Rio de Janeiro, Brazil. Pregestational food consumption assessed using the food frequency questionnaire in the prenatal interview in women up to 20 gestational weeks and gestational consumption in the interview 2 months after delivery. Food items classified according to the NOVA system. For the mean variation from preconception to gestational UPF consumption, we used the generalized estimating equations model with linear distribution. Control of confounding variables was based on the literature on factors associated with UPF consumption, using a 3-level hierarchical model. The proportion of UPF energy consumption was 28.9% in preconception and 33% during pregnancy. Older and more educated women had a lower mean variation in the consumption of UPF during the pregnancy. A higher average consumption of UPF observed among women physically inactive before pregnancy, who smoked during pregnancy, were multiparous, and with had a low pregestational weight. These results reflect similar behavior to that of the general population, aggravated by a significant increase during pregnancy. However, older and more educated women and those with healthy behaviors showed lower UPF intake in pregnancy.