Though many women in need of access to HIV preventive regimes are pregnant, there is a dearth of data to guide these care decisions. While oral pre-exposure prophylaxis (PrEP) has been shown to prevent HIV infection in numerous high-risk populations, pregnant women have been excluded from all major prospective trials. We propose for ethical examination a theoretical trial—a prospective, observational study of PrEP for pregnant women at risk for HIV in sub-Saharan Africa—highlighting an ethical tradeoff that characterizes issues faced for advancing research in pregnancy. On the one hand, an “opportunistic” study design has certain ethical advantages: as formally construed, the research activity usually begins after decisions to use PrEP during pregnancy are made in the clinical setting. This minimizes research risks and avoids ethical problems that a randomized controlled trial (RCT) comparing PrEP to placebo would entail, particularly withholding care proven beneficial in other populations. On the other hand, observational studies yield less precise information than RCTs. This raises a broader question about the pace of research with pregnant women, as it typically takes many years after a drug’s approval for use in the general population to determine safety of the medication in pregnancy. Such delays can have the effect of making it impossible to ethically conduct an RCT with pregnant women, reducing the likelihood that the research community is able to obtain robust, pregnancy-specific evidence. While an observational cohort is potentially the most ethically and scientifically justified research design to study PrEP in pregnancy, earlier involvement of pregnant women in studies of newer preventives may lead to evidence that is more timely and robust.