The aim was to understand the experiences of pregnant women in prison situation. We conducted a qualitative and descriptive study in a female prison in the State of São Paulo/Brazil, with 14 pregnant women and we used the content analysis technique grounded on psycho-emotional approaches. We identified the categories: Search for Self-Protection, Guilt Feeling, Building the New Identity. The experience in jail meant solitude, fear, impotence, and resignation. There are restrictions on family relationships, social conviviality, food supplement, privacy and on the right to sleep/rest, besides the impediment to exercise motherhood. Women demonstrated guilt and pain due to the privation to experience maternity and breastfeeding, besides the fear to lose their child’s custody. The women had to adjust themselves to the new reality to live in prison. We conclude that pregnant inmates try self-protection to survive the losses and the affection and social disruptions.