Iron deficiency anaemia is the most common nutritional disorder in the world. Pregnant women are at especially high risk of iron deficiency and anaemia because of significantly increased iron requirements during pregnancy. Iron supplementation during pregnancy has been recommended for women in the developing world, since usually no basic changes occur in the composition of the diet. This is a retrospective cohort study carried out in Al-Yamamah Hospital, Riyadh, Saudi Arabia, comparing the outcome of haemoglobin levels in 308 pregnant women near term with compliance to iron supplementation during the preceding pregnancy stages. Data were collected using an interview-based questionnaire for assessment of supplementation compliance and the women were divided into three categories: strictly compliant; partially compliant; and non-compliant. Haemoglobin levels were extracted from the medical records for the first antenatal visit (before 13 weeks' gestation) and compared with the level at entrance to the study at 36 weeks' gestation. Both Epi-info 2002 version 3.2 and SPSS version 10 were used for data analysis. Our results show that 49.7% used iron supplements continuously during the second and third trimesters of pregnancy; 38.3% reported partial use and 12.0% used no iron supplements. Haemoglobin levels improved significantly only among strictly compliant pregnant women, by 0.3 g/dl; decreased among partially compliant women by, 0.36 g/dl and significantly decreased among non-compliant, by -1.4 g/dl. Factors associated with non-compliance were education with a simple linear protective effect from being non-compliant. The percentage of anaemic women increased from 29.6% in the first trimester to 34% in the third trimester. Anaemia was significantly associated with non-compliance with iron supplementation, the adjusted OR was 6.19 95% CI 2.55-15.02, p < 0.0001. Strategies to improve compliance and effective iron supplementation among pregnant women should be implemented.