During pregnancy, the maternal immune system is challenged by the semiallogeneic fetus, which must be tolerated without compromising fetal or maternal health. This review updates the systemic and local immune changes taking place during human pregnancy, including some examples in rodents. Systemic changes are induced by contact of maternal blood with placental factors and include enhanced innate immunity with increased activation of granulocytes and nonclassical monocytes. Although a bias toward T helper (Th2) and regulatory T cell (Treg) immunity has been associated with healthy pregnancy, the relationship between different circulating Th cell subsets is not straightforward. Instead, these adaptations appear most evidently at the fetal-maternal interface, where for instance Tregs are enriched and promote fetal tolerance. Also innate immune cells, that is, natural killer cells and macrophages, are enriched, constituting the majority of decidual leukocytes. These cells not only contribute to immune regulation but also aid in establishing the placenta by promoting trophoblast recruitment and angiogenesis. Thus, proper interaction between leukocytes and placental trophoblasts is necessary for normal placentation and immune adaptation. Consequently, spontaneous maladaptation or interference of the immune system with toxic substances may be important contributing factors for the development of pregnancy complications such as preeclampsia, preterm labor, and recurrent miscarriages.