Almonds are a healthy source of iron. Almonds are a nutritious source of protein, iron, vitamin E and heart-healthy unsaturated fats. These nutrients help support a healthy pregnancy and are a nutritious addition to your diet.If you're concerned about the risk of nut allergies, research doesn't indicate a danger if you eat almonds while pregnant.utrients. Raw almonds contain several of the nutrients you need to support a healthy pregnancy. One ounce of almonds supplies about 1 milligram of iron toward the 27 milligrams you need each day.