Background: Mood disorders can be difficult to treat during pregnancy. There is still lack of evidence whether pregnancy influences their natural course and whether continuation of pharmacotherapy, despite potential risks for the unborn child, is beneficial in preventing recurrence of mood episodes during pregnancy. Methods: Systematic review conducted according to the PRISMA guidelines, searching Pubmed, PsycINFO, Embase and Cochrane databases up till January 9th, 2018. Recurrence rates and various measures of risk were calculated. Results: Out of 1387 articles from an initial search 22 studies met the inclusion criteria. Included studies reported a wide variation in the recurrence rate of bipolar disorder and major depressive disorder during pregnancy (BD: mean = 19%, range = 4%–73%; MDD: mean = 8%, range = 1%–75%). Observational data showed a relative risk reduction of maintenance therapy during pregnancy of 66% in women with BD and 54% for women with MDD, a significant difference (95% CI 9.4–14.6; p < 0.001). Limitations: heterogeneous samples, study designs, and reported outcomes in included studies. Conclusions: Despite the importance of the topic there is a paucity of evidence on recurrence rates of mood episodes during pregnancy among women with MDD or BD. Unlike the impact of the postpartum period, it is still uncertain whether the course of mood disorders is influenced by pregnancy. Non-randomized studies show that maintenance pharmacotherapy during pregnancy in women with mood disorders significantly (p < 0.01) reduces the risk of recurrence.