Pregnancy is characterized by a delicate immune balance; therefore, infectious diseases might increase the risk of adverse pregnancy outcomes (APOs). Here, we hypothesize that pyroptosis, a unique cell death pathway mediated by the NLRP3 inflammasome, could link SARS-CoV-2 infection, inflammation, and APOs. Two blood samples were collected from 231 pregnant women at 11–13 weeks of gestation and in the perinatal period. At each time point, SARS-CoV-2 antibodies and neutralizing antibody titers were measured by ELISA and microneutralization (MN) assays, respectively. Plasmatic NLRP3 was determined by ELISA. Fourteen miRNAs selected for their role in inflammation and/or pregnancy were quantified by qPCR and further investigated by miRNA-gene target analysis. NLRP3 levels were positively associated with nine circulating miRNAs, of which miR-195-5p was increased only in MN+ women (p-value = 0.017). Pre-eclampsia was associated with a decrease in miR-106a-5p (p-value = 0.050). miR-106a-5p (p-value = 0.026) and miR-210-3p (p-value = 0.035) were increased in women with gestational diabetes. Women giving birth to small for gestational age babies had lower miR-106a-5p and miR-21-5p (p-values = 0.001 and 0.036, respectively), and higher miR-155-5p levels (p-value = 0.008). We also observed that neutralizing antibodies and NLRP3 concentrations could affect the association between APOs and miRNAs. Our findings suggest for the first time a possible link between COVID-19, NLRP3-mediated pyroptosis, inflammation, and APOs. Circulating miRNAs might be suitable candidates to gain a comprehensive view of this complex interplay.