This study analyzed the association between social vulnerability indicators and the incidence rate of severe COVID-19 in pregnant women in Pernambuco State, Brazil, between 2020 and 2021. It is an ecological study that assessed severe cases of COVID-19 in pregnant women reported to the Influenza Surveillance System in Brazil. To determine such association, the zero adjusted Gamma (ZAGA) regression model was applied due to the large number of zeros in the response variable. Variables available in the Demographic Census were used, representing socioenvironmental conditions, household characteristics, and urban services. In the study period, 475 severe cases of COVID-19 were reported in pregnant women, with an incidence rate of 1.40 cases per 1,000 live births. Modeling with ZAGA showed that the mean incidence rate is affected by the illiteracy rate, with the average increasing by a relative 5.1% for every 1% (p = 0.024). The ZAGA model also estimates the chance of a municipality having a zero rate, with these values increasing by 2.7% for every 1% of the proportion of Family Health Strategy coverage, by 19.3% for every 0.01 of the Municipal Human Development Index (M-HDI) education dimension, and by 21.3% for every 0.01 of the M-HDI longevity dimension. When the M-HDI increases, the chance of the municipality having a zero rate decreases by 33.8% for every 0.01. Population density reduces the chance by 4.5% for every 10 inhabitants/km2. This study highlighted the influence of social vulnerability indicators on the incidence of severe COVID-19 cases in pregnant women, showing that some aspects of social and demographic characteristics are related to such influence.