Background: Iron supplementation is widely recommended for all pregnant women, irrespective of their iron status. But providing excess iron to nonanemic pregnant women can result in iron overload, which may lead to oxidative stress and inflammation. Objectives: To assess the differential effect of iron supplementation on hematological parameters, oxidative stress, and inflammation in nonanemic and anemic pregnant women. Methods: Forty nonanemic and forty anemic pregnant women were recruited at 12 weeks of gestation. The study subjects were supplemented with iron (60 mg/day for nonanemic pregnant women and 120 mg/day for anemic pregnant women). Fasting state blood samples were collected at 12 and 28 weeks of gestation. Results: Malondialdehyde (MDA)/total antioxidant status (TAS) ratio (MDA/TAS) and high-sensitivity C-reactive protein (hsCRP) were significantly higher in anemic pregnant women before iron supplementation. Iron supplementation to the anemic pregnant women resulted in significant improvement in the hematological profile and ferritin levels. Further, the iron supplementation caused a significant reduction in hsCRP levels although the MDA/TAS ratio remained unaltered. Iron supplementation to nonanemic pregnant women resulted in a significant increase in the levels of MDA/TAS ratio and hsCRP, but there were no changes in hematological profile and serum ferritin levels. Conclusion: Prophylactic iron supplementation in nonanemic pregnant women increased oxidative stress and inflammation. However, in anemic pregnant women, iron supplementation was found to be beneficial as it improved hematological status and decreased inflammation without affecting oxidative stress.