Background: Fetal loss is one of the most serious adverse outcomes of pregnancy. Since the onset of the COVID-19 pandemic, Brazil has recorded an unprecedented number of hospitalizations of pregnant women due to acute respiratory distress (ARD), thereby, we aimed to assess the risk of fetal deaths associated to ARD during pregnancy in Bahia state, Brazil, in the context of the COVID-19 pandemic. Methods: This is an observational population-based retrospective cohort study, developed with women at or after 20 weeks of pregnancy, residents in Bahia, Brazil. Women who had acute respiratory distress (ARD) in pregnancy during the COVID-19 pandemic (Jan 2020 to Jun 2021) were considered 'exposed'. Women who did not have ARD in pregnancy, and whose pregnancy occurred before the onset of the COVID-19 pandemic (Jan 2019 to Dec 2019) were considered 'non-exposed'. The main outcome was fetal death. We linked administrative data (under mandatory registration) on live births, fetal deaths, and acute respiratory syndrome, using a probabilistic linkage method, and analyzed them with multivariable logistic regression models. Results: 200,979 pregnant women participated in this study, 765 exposed and 200,214 unexposed. We found four times higher chance of fetal death in women with ARD during pregnancy, of all etiologies (adjusted odds ratio [aOR] 4.06 confidence interval [CI] 95% 2.66; 6.21), and due to SARS-CoV-2 (aOR 4.45 CI 95% 2.41; 8.20). The risk of fetal death increased more when ARD in pregnancy was accompanied by vaginal delivery (aOR 7.06 CI 95% 4.21; 11.83), or admission to Intensive Care Unit (aOR 8.79 CI 95% 4.96; 15.58), or use of invasive mechanical ventilation (aOR 21.22 CI 95% 9.93; 45.36). Conclusion: Our findings can contribute to expanding the understanding of health professionals and managers about the harmful effects of SARS-CoV-2 on maternal-fetal health and alerts the need to prioritize pregnant women in preventive actions against SARS-CoV-2 and other respiratory viruses. It also suggests that pregnant women, infected with SARS-CoV-2, need to be monitored to prevent complications of ARD, including a careful assessment of the risks and benefits of early delivery to prevent fetal death.