Objective To evaluate the rate of change in serum lipids and the factors associated with their variations, stratifying for pre‐pregnancy body mass index ( BMI ) categories. Design Prospective cohort. Setting Public Health centre, Rio de Janeiro, Brazil. Population Two hundred and twenty‐five healthy pregnant women recruited between 2009 and 2011. Methods Women were evaluated during the three trimesters of pregnancy (5th–13th, 20th–26th and 30th–36th gestational weeks). Pre‐pregnancy BMI (kg/m²) was classified as normal weight ( NW = 18.5–24.9), overweight ( OW = 25.0–29.9) or obese ( OB ≥ 30.0). The independent variables included maternal socioeconomic, demographic, biochemical and lifestyle factors. We performed linear mixed‐effects models adjusted for gestational age and body weight, reporting coefficient ( β ) and 95% confidence interval (95% CI ). Main outcome measures Longitudinal total cholesterol ( TC ), high‐density lipoprotein ( HDL ‐c), low‐density lipoprotein ( LDL ‐c) and triglyceride ( TG ) measurements. Results OW and OB women presented higher mean TG , TC and LDL ‐c compared with their NW counterparts ( P < 0.05). The mean HDL ‐c concentrations were higher in NW than in OB women ( P = 0.03). OW and OB women presented lower serum TC ( β OW = −0.014; 95% CI = −0.026 to −0.002; P = 0.022; β OB = −0.015; 95% CI −0.015 to 0.001; P = 0.066) and LDL ‐c ( β OW = −0.012; 95% CI = −0.021 to −0.002; P = 0.017; β OB = −0.018; 95% CI = −0.031 to −0.005; P = 0.005) rates of change (mmol/l per gestational week) compared with the NW . Pre‐gestational BMI was the main factor associated with the rate of changes in TC and LDL ‐c concentrations. Conclusion Pre‐pregnancy BMI was the main factor associated with the rate of change in TC and LDL ‐c throughout pregnancy, and OW and OB women presented lower rates of change compared with NW controls.