The objectives of the study were to determine differences in the parameters of red blood cells (RBC), white blood cells (WBC), and platelets at low altitude (LA) and at high altitude (HA) and with the gestation being advanced, and to determine correlations between parameters of RBC and platelets. We also studied the association of RBC and platelets with markers of iron status. In addition, markers of iron status and inflammation were measured and compared at each trimester of gestation in pregnant women at LA and HA. A cross-sectional comparative study was conducted at Lima (150 m above sea level) and Cusco at 3400 m above sea level from May to December 2019. Hematological parameters in pregnant women (233 at LA and 211 at HA) were analyzed using an automated hematology analyzer. Serum ferritin levels, soluble transferrin receptor (sTfR), hepcidin, erythropoietin, testosterone, estradiol, and interleukin-6 (IL6) levels were measured by ELISA. One-way ANOVA supplemented with post hoc test, chi-square test, and Pearson correlation test statistical analyses were performed. p < 0.05 was considered significant. Pregnant woman at HA compared to LA had significantly lower WBC (p < 0.01), associated with higher parameters of the RBC, except for the mean corpuscular volume (MCV) that was no different (p > 0.05). Platelets and mean platelet volume (MPV) were higher (p < 0.01), and platelet distribution width (PDW) was lower at HA than at LA (p < 0.01). A higher value of serum ferritin (p < 0.01), testosterone (p < 0.05), and hepcidin (p < 0.01) was observed at HA, while the concentration of sTfR was lower at HA than at LA (p < 0.01). At LA, neutrophils increased in the third trimester (p < 0.05). RBC parameters decreased with the progress of the gestation, except RDW-CV, which increased. The platelet count decreased and the MPV and PDW were significantly higher in the third trimester. Serum ferritin, hepcidin, and serum testosterone decreased, while sTfR and serum estradiol increased during gestation. At HA, the WBC and red blood cell distribution width-coefficient of variation (RDW-CV), PCT, and serum IL-6 did not change with gestational trimesters. RBC, hemoglobin (Hb), hematocrit (Hct), mean corpuscular hemoglobin concentration (MCHC), and platelet count were lower as gestation advanced. MCV, MPV, and PDW increased in the third trimester. Serum ferritin, testosterone, and hepcidin were lower in the third trimester. Serum estradiol, erythropoietin, and sTfR increased as gestation progressed. Direct or inverse correlations were observed between RBC and platelet parameters and LA and HA. A better number of significant correlations were observed at HA. Hb, Hct, and RDW-CV showed a significant correlation with serum ferritin at LA and HA. Of these parameters, RDW-CV and PDW showed an inversely significant association with ferritin (p < 0.05). In conclusion, a different pattern was observed in hematological markers as well as in iron status markers between pregnant women at LA and HA. In pregnant women a significant correlation between several RBC parameters with platelet marker parameters was also observed. Data suggest that pregnant women at HA have adequate iron status during pregnancy as reflected by higher serum ferritin levels, lower sTfR levels, and higher hepcidin values than pregnant women at LA.