This study examined the response of pregnant women in Lagos State, Nigeria to messages on COVID 19 prevention measures. Anchored on the Health Belief Model (HBM) and the Source Credibility theory, the study adopted survey and focus group discussion (FGD) methods for data gathering. Samples for the survey and FGD comprised 600 respondents and 40 participants selected from 10 hospitals operating antenatal care in five LGAs in Lagos State respectively. The questionnaire and unstructured interview guide were used to generate the data used to answer the five research questions guiding the study. Results show that the respondents were extremely familiar with and practiced the majority of the government recommended COVID-19 prevention measures, except intention to take the vaccine. Results also show that trust and believability in COVID-19 information from sources, especially health experts (M=1.48, SD=0.92) and not government or its agencies, positively influenced their prevention behaviour. COVID-19 Misinformation was also found to have negatively influenced their attitude towards the vaccine. Furthermore, socio- demographic factors including age, income, education, ethnicity and location were found to shape the pregnant women’s responses. Consequently, the findings of this study support the tenets of the HBM and the Source Credibility theory. The study recommends that the government and its agencies should bridge the trust gap between it and the public, by being more truthful and transparent about the risk level of COVID-19, and indeed other diseases and how they plan to tackle them. Government and its agencies, such as NCDC should attempt to curb the influx of misinformation by collaborating with reputable fact checking organizations, social media organizations and traditional media outlets, to fact check and debunk misinformation as soon as they are put out in the public domain. They should also implement counter campaigns to debunk the misinformation that COVID-19 kills pregnant women.