(1) Background: Alcohol consumption during pregnancy is a major concern, particularly in Europe and North America. Its prevalence has been so far under researched. In most of the studies the determination of this consumption may be underestimated, as it is based on the information obtained from questionnaires rather than from biomarkers, which will provide a much reliable approach. The main objective in this study was the comparison of prevalence of consumption during pregnancy assessed by a questionnaire and a hair biomarker. (2) Method: Cross-sectional study with a random sample of 425 pregnant women treated in public hospital consultations in Seville (Spain) and in the 20th week of their pregnancy, orally interviewed through a questionnaire elaborated ad hoc which evaluated sociodemographic, obstetric, and alcohol consumption variables. Additionally, the ethyl glucuronide metabolite (EtG) was tested on a hair sample in 252 pregnant women who agreed to facilitate it. Once data obtained through the questionnaire and the hair testing were analyzed, the level of metabolites and the self-reported alcohol consumption were contrasted. (3) Results: The prevalence of self-reported alcohol consumption (questionnaire) was 20.7% and real consumption (metabolite analysis) was 20.2%. In 16.8% of pregnant women who declared not consuming alcohol during their pregnancy a noticeable consumption was detected according to the metabolite testing. No relevant level of variability in estimated alcohol consumption was detected in the biomarker with respect to the studied sociodemographic and obstetric variables.