Ascertaining the utility of continuous glucose monitoring (CGM) in pregnancy complicated by diabetes is a rapidly evolving area, as the prevalence of type 1 diabetes (T1D), type 2 diabetes (T2D), and gestational diabetes mellitus (GDM) escalates. The seminal randomized controlled trial (RCT) evaluating CGM use added to standard care in pregnancy in T1D demonstrated significant improvements in maternal glycemia and neonatal health outcomes. Current clinical guidance recommends targets for percentage time in range (TIR), time above range (TAR), and time below range (TBR) during pregnancy complicated by T1D that are widely used in clinical practice. However, the superiority of CGM over blood glucose monitoring (BGM) is still questioned in both T2D and GDM, and whether glucose targets should be different than in T1D is unknown. Questions requiring additional research include which CGM metrics are superior in predicting clinical outcomes, how should pregnancy-specific CGM targets be defined, whether CGM targets should differ according to gestational age, and if CGM metrics during pregnancy should be similar across all types of diabetes. Limiting the potential for CGM to improve pregnancy outcomes may be our inability to maintain TIR > 70% throughout gestation, a goal achieved in the minority of patients studied. Adverse pregnancy outcomes remain high in women with T1D and T2D in pregnancy despite CGM technology, and this review explores the potential reasons and questions yet to be investigated.