Incidence and severity of heatwaves is increasing globally with concomitant health complications. Pregnancy is a critical time in the life-course at risk of adverse health outcomes due to heat exposure. Dynamic physiological adaptations, which includes altered thermoregulatory pathways, occur in pregnancy. If heat dissipation is ineffective, maternal and neonate health outcomes can be compromised. Indeed, epidemiological studies and animal models reveal that exposure to heat in pregnancy likely elicits an array of health complications including miscarriage, congenital anomalies, low birth weight, stillbirth, and preterm birth. Despite these associations, the reasons for why these complications occur is unclear. An array of physiological and endocrine changes in response to heat exposure in pregnancy likely underpin the adverse health outcomes, but currently conclusive evidence is sparse. Accompanying these fundamental gaps in knowledge is a poor understanding of what exact climatic conditions challenge pregnant physiology. Moreover, the overlay of thermoregulatory-associated behaviours such as physical activity need to be taken in to consideration when assessing the risks for human health and identifying critical populations at-risk. While the health impacts from heat are largely preventable through strategic interventions, for the related clinical practice, public health and policy approaches to be effective, the gaps in basic science understanding urgently need to be addressed.