It happened around 9:50 p.m. on North 2nd Street near W. Ontario.
Michelle Boothe heard the gunshots from her home.
"I asked my husband, I said, 'What was that? Firecrackers?' He said, 'No, that was gunshots,'" Boothe explained.
Action News has learned that two women were sitting in the back seat of a parked car when the gunman opened fire.
Philadelphia Chief Inspector Scott Small said the driver of the car was not hit and drove the two women to Temple University Hospital.
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Police said the 25-year-old pregnant woman was shot in the elbow and is stable.
A 22-year-old woman was shot multiple times, and she is in critical condition but has been stabilized.
Approximately 20 shell casings were found at the scene, investigators said.
Police believe the shooter is the father of the unborn child.
"We believe that there was some type of domestic altercation that escalated and led to the shooting," Small said.
No arrests have been made as police search for the gunman.
This is the second time in one week that a pregnant woman was shot in Philadelphia.
Last Thursday, Shaliyah Davis, who was four months pregnant, was shot and did not survive.
Anyone with any information is asked to call police at 215-686-TIPS.