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Abstract Background It is well known that the magnitude of undernutrition in Ethiopia is unacceptably high. The burden of co-occurrence of iron, folate, and vitamin A deficiency, on the other hand, has received less attention. Thus, in this study, we looked at the prevalence of iron, folate, and vitamin A deficiency in pregnant women in eastern Ethiopia. Methods A community-based cross-sectional study was conducted among 397 pregnant women in Haramaya district, eastern Ethiopia. An interview-assisted questionnaire and blood serum were collected from pregnant women using standard techniques and shipped to an EPHI for micronutrient analysis. Factors associated with the co-occurrence of iron, folate, and vitamin A deficiency were identified using binary and multiple logistic regressions. Results According to this study, 81.6% of the participants were deficient in at least one micronutrient, and 53.53.2% were deficient in two or more. Women who did not receive iron-folic acid supplementation (AOR = 2.44; 95% CI = 1.52–3.92), did not attend Antenatal care (ANC) follow up (AOR = 2.88; 95% CI = 1.81–4.61), and reported low consumption of diversified diet (AOR = 2.18 (95% CI = 1.35–3.51) had a higher risk of co-occurrence of iron, folate, and vitamin A deficiency. Conclusion This study found that more than half of pregnant women were in multiple micronutrients, indicating a major public health issue. In addition to the IFA supplementation programs that are already in place, there is a need for multiple micronutrient supplementation.