Continuous positive airway pressure (CPAP) has been successfully applied to patients with COVID-19 to prevent endotracheal intubation. However, experience of CPAP application in pregnant women with acute respiratory failure (ARF) due to SARS-CoV-2 pneumonia is scarce. This study aimed to describe the natural history and outcome of ARF in a cohort of pregnant women with SARS-CoV-2 pneumonia, focusing on the feasibility of helmet CPAP (h-CPAP) application and the variables related to ARF worsening. A retrospective, observational study enrolling 41 consecutive pregnant women hospitalised for SARS-CoV-2 pneumonia in a tertiary care center between March 2020 and March 2021. h-CPAP was applied if arterial partial pressure of oxygen to fraction of inspired oxygen ratio (PaO2/FiO2) was inferior to 200 and/or patients had respiratory distress despite adequate oxygen supplementation. Characteristics of patients requiring h-CPAP vs those in room air or oxygen only were compared. Twenty-seven (66%) patients showed hypoxemic ARF requiring oxygen supplementation and h-CPAP was needed in 10 cases (24%). PaO2/FiO2 was significantly improved during h-CPAP application. The device was well-tolerated in all cases with no adverse events. Higher serum C reactive protein and more extensive (≥3 lobes) involvement at chest X-ray upon admission were observed in the h-CPAP group. Assessment of temporal distribution of cases showed a substantially increased rate of CPAP requirement during the third pandemic wave (January-March 2021). In conclusion, h-CPAP was feasible, safe, well-tolerated and improved oxygenation in pregnant women with moderate-to-severe ARF due to SARS-CoV-2 pneumonia. Moderate-to-severe ARF was more frequently observed during the third pandemic wave.