Pertussis containing vaccine is recommended for pregnant women to protect neonates prior to being fully immunized against the disease. The immune response during pregnancy may be impacted by changes in the hormonal status. The aim of this study was to evaluate the immune response to pertussis immunization in pregnancy and to assess the role of sex hormones. In a cross-sectional study, blood samples were drawn from 174 pregnant and 74 non-pregnant women 45–60 days following immunization. Anti-pertussis toxin (Anti-PT) IgG antibody levels, estrogen, and progestogen concentrations were compared between the two groups. Multiple logistic regression analysis was used to examine the association between serum antibody and sex hormone concentrations in each group, controlling for age, body mass index (BMI), and smoking status. The geometric mean concentration (GMC) of anti-PT IgG antibody was significantly higher in non-pregnant women compared with pregnant women (median of 2.09 and 1.86, interquartile range = 2.36–1.8 and 2.11–1.16 respectively, p < 0.0001). Among pregnant women, the anti-PT IgG antibody GMC was negatively associated with both progesterone (odds ratio = 0.300, 95% CI = 0.116, 0.772, p = 0.013) and estrogen (odds ratio = 0.071, 95% CI = 0.017, 0.292, p < 0.0001), after controlling for age, BMI, and smoking. Pregnancy was associated with lower anti-PT IgG antibody levels (odds ratio = 0.413, 95% CI = −0.190, 0.899, p = 0.026). This appears to be at least partially explained by the higher levels of hormones during pregnancy. These findings demonstrate the important role of sex hormones in the response to pertussis vaccine during pregnancy and can help to evaluate the optimum vaccination schedule.