The literature underscores that psychological factors could play an important role in smoking behavior, which is considered a coping mechanism. To study relations among measures of self-esteem, psychological distress, anxiety, depressive symptoms, and coping styles in pregnant smokers, a cross-sectional study was conducted. These factors were assessed in two groups of pregnant women (Smokers, n = 40; Non-smokers, n = 40) contacted at one University Hospital in Paris. All participants filled out the Fagerström Test for Nicotine Dependence, the Rosenberg Self-esteem Scale, the General Health Questionnaire, the Hospital Anxiety Depression Scale, and the Brief Cope Scale. Comparisons, correlations, and regression models were used to analyze the data. The results showed that the group of pregnant women who smoked had significantly lower mean self-esteem, elevated psychological distress and anxiety scores, and reported using more emotion-focused coping than the group of pregnant non-smokers. Self-esteem significantly predicted problem-focused coping. This study confirms the importance of assessing these psychological variables to offer women more specific support to quit smoking.