The 27-year-old woman in the southern state of Johor is the third case detected in Malaysia, where fears of a full-blown outbreak emanating from Singapore are mounting.
Infected pregnant women can give birth to babies with microcephaly, a deformation marked by abnormally small brains and heads.
‘The woman is expecting her first child and is three to four months' pregnant,’ Malaysia's health minister S. Subramaniam said in a statement on the ministry's Facebook page.
Malaysia last Thursday reported its first case of Zika, a woman believed to have caught the virus while in Singapore. On Saturday it reported its first suspected locally transmitted case, a man in the eastern state of Sabah.
The man, who had no recent history of overseas travel, was already in fragile health due to other conditions and subsequently died of heart-related complications.
Subramaniam said it was not clear how the pregnant Malaysian woman contracted Zika, but she had visited Singapore six months ago and her husband regularly makes trips to the city-state.
Subramaniam said authorities have inspected a wide area around her home and other places she had recently visited, and they were being fogged with mosquito-killing chemicals.
Zika, which is spread mainly by the Aedes mosquito, has been detected in 67 countries and territories including hard-hit Brazil.
Malaysia has struggled in recent years to control the spread of dengue fever, which is also borne by the Aedes mosquito.
It has stepped up screening of travellers from abroad, particularly Singapore, and is fogging with insecticides. Members of the public have been urged to eliminate mosquito breeding sites such as stagnant water.
Zika has been spiralling in Singapore since the beginning of September with health officials updating the number of cases to 275 on Tuesday, including two pregnant women.
Authorities have warned the virus is likely to spread further.