Pregnant women are susceptible to COVID-19 complications due to gestation-related physiological changes. We aimed to evaluate the level of maternal knowledge, perception, and practice during the pandemic. A cross-sectional study was conducted during the Malaysian Movement Control Order (MCO) between April and June 2020. A self-administered electronic questionnaire that included the knowledge and practice domains was distributed. A newly designed set of questions was used to evaluate (1) women's perception of MCO and (2) maternal experience, which was subdivided into clinical care provision and maternal anxiety. The survey response rate was 93% with the final number for analysis of 415. The majority of women (95%) demonstrated an adequate level of knowledge on COVID-19, whilst 99% had a good practice. We found that tertiary education (p < 0.001), employment status (p = 0.03), higher household income (p < 0.001), and multiple sources of information (p < 0.001) were independent predictors of adequate maternal knowledge on COVID-19. Women with adequate knowledge also reported a more positive perception of MCO (p < 0.001) and better obstetric care experience (p = 0.037), as did those of Malay ethnicity. Younger (p < 0.001) and nulliparous (p = 0.01) women demonstrated greater anxiety levels. The majority of our women reported good practice and adequate knowledge, which contributed to a positive perception of MCO and better maternal obstetric experience. First-time mothers may benefit from extra support and reassurance during the pandemic to alleviate maternal anxiety.