Aims: Tobacco is a major cause of disease and mortality in modern times. The risk of smoking in pregnancy is a serious threat to the development and future health of an unborn child. The aim of this study was to explore the epidemiological factors associated with smoking during pregnancy in a primary healthcare setting. Methods: All 856 maternity records at the Glaesibaer Health Care Centre in Reykjavik during 2006–2013 were reviewed and information on smoking habits investigated. Results: The records showed that in 108 (12.2%) pregnancies, women smoked at first visit and 63 stopped smoking in early pregnancy, leaving 45 (5.3%) mothers smoking throughout the whole gestational period. The mean age of the smoking women was 27.8 years and for the non-smokers 29.7 years. Low social status (odds ratio (OR) = 2.66; 95% confidence interval (CI): 1.19–5.96), previous mental health diagnosis (OR = 2.7; 95% CI: 1.3–5.6), and unstable relationship with a partner (OR = 3.78; 95% CI: 2.1–7.0) were associated with smoking. Smoking fewer cigarettes was associated with a 0.04-unit lower risk of smoking during pregnancy (OR = 0.04: 95% CI: 0.02–0.08). Conclusions: Our results indicated that the women who smoked during pregnancy were often heavy smokers and living without a partner. They were younger, had worse mental health, and a lower social status than those pregnant women who did not smoke. Bearing in mind the consequence of smoking in pregnancy, this subgroup should get increased assistance to quit smoking before and during early pregnancy, as well as appropriate medical and social support.