Pregnancy is a period of complex bio-psychological changes, during which the development of an attachment bond to the fetus takes on a central role. Depressive symptoms are common during this period. Both symptoms of depression and low levels of prenatal attachment are related to negative outcomes in caregivers and infants. Following the Preferred Reporting Items for Systematic Review and Meta-Analysis (PRISMA) statement, this systematic review analyzes and systematizes 41 studies concerning the association between prenatal attachment and perinatal depression. The majority of the studies reported a significant association between the two. Specifically, prenatal depressive symptoms were found to be negatively associated with prenatal attachment. Furthermore, lower levels of prenatal attachment were related to higher postnatal depressive symptoms, although fewer studies assessed this association. While these results were found across different populations, conflicting findings emerged, suggesting they should be interpreted with caution, particularly in male samples and in non-normative pregnancies (e.g., high-risk pregnancies, medically assisted pregnancies, and pregnancies with previous perinatal losses). These results are clinically important for the perinatal screening process and for implementing preventive and treatment programs. However, future studies are needed to further confirm and generalize these results.