Background: Becoming a mother is one of the most transitional experiences in life. It requires psychological, physical, and social adjustment and adaptation in various areas and can be conceived as both a stressful and joyful experience by many women. Especially, first-time pregnancies are recognised as a period of emotional sensitivity. Moreover, stress is a well-established risk factor for premature birth and low birth weight and might affect the health of the offspring. Thus, this study explores the perception of stress and worries in healthy Danish pregnant nulliparous women. Methods: We used a qualitative, inductive, exploratory design. Three focus group interviews were conducted with 16 healthy pregnant nulliparous women. Data from the focus group interviews were analysed using content analysis according to Graneheim and Lundman. Findings: Three main categories contributed to the core theme “Identity Limbo”. The categories were: (1) The great responsibility, (2) Imagining picture-perfect, and (3) Two-in-one body. The participants expressed that holding on to their current identity was extremely important. They simultaneously tried to incorporate their new identity as mothers, which imposed sadness about saying goodbye to their old life, leaving them in an identity limbo. These women did not experience classic stressors such as bereavement, poverty, or trauma. Still, the great responsibility for the child's future, changes to their work and career, and saying goodbye to their pre-pregnancy identity were all essential contributors to feelings of stress in the women's current pregnancy and life. Conclusion: Our findings suggest that the identity limbo triggered by pregnancy can make the transition to motherhood stressful for some women. Therefore, with the potentially severe consequences of stress in mind, developing tools that can help women and midwives focus on the mental transition of pregnancy is needed.