Nowadays, recurrent pregnancy loss (RPL) is an undesirable condition suffered by many patients of reproductive age. In this scenario, certain immune cell populations and molecules, involved in maternal–fetal compatibility, have emerged as factors related with the pathogenesis of RPL. Among them, uterine Natural Killer cells (uNKs) appear to be of great relevance. These cells are involved in numerous processes during pregnancy, such as the remodeling of uterine spiral arteries or the control of trophoblast invasion. These functions are regulated by the interactions that these cells establish with the extravillous trophoblast, mainly through their Killer Immunoglobulin-like Receptors (KIRs) and the Human Leukocyte Antigen-C (HLA-C) molecules expressed by the embryo. A high level of polymorphism has been reported for both molecules involved in this interaction, with some of the possible KIR–HLA-C combinations being associated with an increased risk of RPL. However, the complexity of the maternal–fetal interface goes beyond this, as other HLA molecules also appear to be related to this reproductive pathology. In this review, we will discuss the role of uNKs in pregnancy, as well as the polymorphisms and clinical implications of KIR–HLA-C binding. We will also address the involvement of other, different HLA molecules in RPL, and the current advice on the appropriate management of patients with ‘immunological mismatch’, thus covering the main aspects regarding the involvement of maternal–fetal compatibility in RPL.