Depression is characterized by sad, irritated, or empty moods, as well as somatic and cognitive changes such as loss of concentration, anhedonia, hopelessness, loss of appetite, sleep disturbances, and suicidal ideation, all of which have a negative impact on an individual's ability to function. Depression that occurs during pregnancy is known as antenatal depression. The occurrence of depression during pregnancy and afterward is quite high. Women having a history of depression before pregnancy have a high probability of getting depression during pregnancy again. The purpose of the study is to review the effect of untreated depression during pregnancy on maternal and neonatal outcomes. The primary outcomes of this review were the identification of studies showing the relationship between untreated depression during the pregnancy indicated by depression measures and any associated adverse birth outcomes; specifically, low birth weight, small for gestational age, preterm birth, postpartum depression, and infant neurodevelopmental outcome. We reviewed 20 population-based contemporary cohort studies with a range of populations from 54 to 194,494, all of them representing the population of gestational age located in multiple jurisdictions. It was found that maternal depression during pregnancy has a positive association with preterm birth, small for gestational age, stillbirth, low birth weight, and maternal morbidity including perinatal complications, increased operative delivery, and postpartum depression. To prevent these adverse outcomes, depression should be screened, monitored, and managed appropriately keeping risk-benefit in consideration.