During the gestation period, pregnant women experience physical and psychological changes, which represent vulnerability factors that can boost the development of mental health conditions. The COVID-19 pandemic is producing new changes in the routines of the whole society, especially on lifestyle habits. The psychological impact associated with the COVID-19 pandemic and pregnant women remains unclear. A scoping review regarding the psychological impact of the COVID-19 pandemic on pregnant women was conducted. Searchers were conducted using the PubMed, Web of Science and CINAHL databases. Articles in Spanish, English and French were included. The search was conducted between November 2020 and September 2021. We identified 31 studies that evaluated 30,049 expectant mothers during the COVID-19 pandemic. Pregnant women showed high levels of anxiety and depression symptomatology. Fear of contagion and concerns regarding the health of the fetus were identified as the main variables related to psychological distress. An increase of the levels of depression, anxiety and stress during the COVID-19 pandemic amongst pregnant women has been observed. Moreover, an increased vulnerability of the fetus due to placental metabolic alterations is discussed. This review suggests that the COVID-19 pandemic is associated with a negative psychological impact on pregnant women. Thus, high levels of anxiety and depression symptoms suggest the need for a systematic approach.