Cell-free self-DNA or RNA may induce an immune response by activating specific sensing receptors. During pregnancy, placental nucleic acids present in the maternal circulation further activate these receptors due to the presence of unmethylated CpG islands. A higher concentration of cell-free foetal DNA is associated with pregnancy complications and a higher risk for foetal rejection. Cell-free foetal DNA originates from placental trophoblasts. It appears in different forms: free, bound to histones in nucleosomes, in neutrophil extracellular traps (NETs) and in extracellular vesicles (EVs). In several pregnancy complications, cell-free foetal DNA triggers the production of proinflammatory cytokines, and this production results in a cellular and humoral immune response. This review discusses preeclampsia, systemic lupus erythematosus, foetal growth restriction, gestational diabetes, rheumatoid arthritis and obesity in pregnancy from an immunological point of view and closely examines the different pathways that result in maternal inflammation. Understanding the role of cell-free nucleic acids, as well as the biogenesis of NETs and EVs, will help us to specify their functions or targets, which seem to be important in pregnancy complications. It is still not clear whether higher concentrations of cell-free nucleic acids in the maternal circulation are the cause or consequence of various complications. Therefore, further clinical studies and, even more importantly, animal experiments that focus on the involved immunological pathways are needed.