Although adequate vitamin D status during pregnancy is essential for maternal health and to prevent adverse pregnancy outcomes, limited data exist on vitamin D status and associated risk factors in pregnant rural Bangladeshi women. This study determined the prevalence of vitamin D deficiency and insufficiency, and identified associated risk factors, among these women. A total of 515 pregnant women from rural Bangladesh, gestational age ≤ 20 weeks, participated in this cross-sectional study. A separate logistic regression analysis was applied to determine the risk factors of vitamin D deficiency and insufficiency. Overall, 17.3% of the pregnant women had vitamin D deficiency [serum 25(OH)D concentration <30.0 nmol/L], and 47.2% had vitamin D insufficiency [serum 25(OH)D concentration between 30–<50 nmol/L]. The risk of vitamin D insufficiency was significantly higher among nulliparous pregnant women (OR: 2.72; 95% CI: 1.75–4.23), those in their first trimester (OR: 2.68; 95% CI: 1.39–5.19), anaemic women (OR: 1.53; 95% CI: 0.99–2.35; p = 0.056) and women whose husbands are farmers (OR: 2.06; 95% CI: 1.22–3.50). The risk of vitamin deficiency was significantly higher among younger pregnant women (<25 years; OR: 2.12; 95% CI: 1.06–4.21), nulliparous women (OR: 2.65; 95% CI: 1.34–5.25), women in their first trimester (OR: 2.55; 95% CI: 1.12–5.79) and those with sub-optimal vitamin A status (OR: 2.30; 95% CI: 1.28–4.11). In conclusion, hypovitaminosis D is highly prevalent among pregnant rural Bangladeshi women. Parity and gestational age are the common risk factors of vitamin D deficiency and insufficiency. A husband’s occupation and anaemia status might be important predictors of vitamin D insufficiency, while younger age and sub-optimal vitamin A status are risk factors for vitamin D deficiency in this population.