Pregnant women are particularly vulnerable to experiencing mental health difficulties, especially anxiety. Anxiety in pregnancy can be characterized as having two components: general symptomology experienced in the general population, and pregnancy-related anxiety more focused on pregnancy, delivery, and the future child. In addition, women also commonly report experiencing attentional control and self-regulation difficulties across the peripartum period. However, links between anxiety and neural and cognitive functioning in pregnancy remain unclear. The present study investigated whether anxiety is associated with neural markers of attention and self-regulation measured using electroencephalography (EEG). Specifically, we examined associations between general and pregnancy-related anxiety and (1) beta oscillations, a neural marker of attentional processing; and (2) the coupling of beta and delta oscillations, a neural marker of self-regulation, in frontal and prefrontal regions. A sample of 135 women in the third trimester of their pregnancy completed a resting-state EEG session. General anxiety was associated with increased beta oscillations, in line with research in the general population, interpreted as reflecting hyperarousal. Pregnancy-related anxiety was associated with decreased beta oscillations, interpreted as reflecting inattention and mind-wandering. Moreover, pregnancy-related anxiety, but not general anxiety, was linked to stronger delta-beta coupling, suggesting anxiety specifically related to the pregnancy is associated with investing greater effort in self-regulation. Our results suggest that general and pregnancy-related anxiety may differentially relate to neural patterns underlying attention and self-regulation in pregnancy.