Court officials say 20-year-old Fabian Durazo entered the pleas Thursday to two counts of first-degree murder, kidnapping, armed robbery and auto theft.
Durazo was arrested near Quartzsite, nearly 150 miles (241 kilometers) west of the Tempe parking lot where 39-year-old Kristina Howato was stabbed to death on Jan. 27.
She was in her third trimester of pregnancy.
Police believe Durazo planned to steal her SUV and she was stabbed in a struggle.
Durazo remains jailed in lieu of $1 million bond. His next court hearing is set for March 22.