Pregnant women are more susceptible to iodine deficiency. However, there are limitations in existing indicators for the evaluation of iodine nutrition in pregnant women. The study aimed to explore whether thyroglobulin (Tg) can be used as a more sensitive biomarker for pregnant women with mild and moderate iodine deficiency. A repeated-measure study was conducted among 1332 pregnant women in Zhejiang Province, China. Serum and urine specimens were collected at a mean of 10, 17, and 32 weeks of pregnancy, respectively; thyroid-stimulating hormone (TSH), Tg, and urinary iodine concentrations were measured. Linear mixed effects models were used to determine the associations between interaction of iodine concentrations and increasing gestation week and TSH and Tg, where participants were divided by urinary iodine concentration (UIC). The median Tg concentration was 11.56, 11.45, and 12.43 μg/L in the first, second, and third trimesters, respectively. After controlling the covariates, the interaction effects between the iodine status and gestation week were significant for both TSH and Tg (p = 0.038 and p = 0.007, respectively). TSH increased with the week of gestation in both iodine concentration groups. Tg increased with advancing pregnancy in the iodine-deficient group whereas it did not in the iodine-sufficient group. There was no significant variation in TSH at each trimester, and Tg was higher in the iodine-deficient group than in the iodine-sufficient group. Tg may be a more sensitive iodine status biomarker than TSH for pregnant women with mild-to-moderate iodine insufficiency.