Educational attainment is among the most substantial protective factors against cigarette smoking, including during pregnancy. Although Minorities’ Diminished Returns (MDRs) of educational attainment, defined as weaker protective effect of education for racial and ethnic minority groups compared to Non-Hispanic Whites, has been demonstrated in previous studies; such MDRs are not tested for cigarette smoking during pregnancy. To better understand the relevance of MDRs to tobacco use during pregnancy, this study had three aims: firstly, to investigate the association between educational attainment and cigarette smoking in pregnant women; secondly, to compare racial and ethnic groups for the association between educational attainment and cigarette smoking; and thirdly, to explore the mediating effect of poverty status on such MDRs, among American adults during pregnancy. This cross-sectional study explored a nationally representative sample of pregnant American women (n = 338), which was taken from the Population Assessment of Tobacco and Health (PATH; 2013). Current smoking was the outcome. Educational attainment was the independent variable. Region and age were the covariates. Poverty status was the mediator. Race and ethnicity were the effect modifiers. Overall, a higher level of educational attainment (OR = 0.54, p < 0.05) was associated with lower odds of current smoking among pregnant women. Race (OR = 2.04, p < 0.05) and ethnicity (OR = 2.12, p < 0.05) both showed significant interactions with educational attainment on smoking, suggesting that the protective effect of educational attainment against smoking during pregnancy is smaller for Blacks and Hispanics than Non-Hispanic Whites. Poverty status fully mediated the above interactions. In the United States, highly educated pregnant Black and Hispanic women remain at higher risk of smoking cigarettes, possibly because they are more likely to live in poverty, compared to their White counterparts. The results suggest the role that labor market discrimination has in explaining lower returns of educational attainment in terms of less cigarette smoking by racial and ethnic minority pregnant women.