Purpose: This purpose of the study was to investigate the factors both risk and protective associated with depression among pregnant women during the coronavirus disease (COVID-19) pandemic. Methods: A literature search was conducted on July 2022, through PubMed, CINAHL, MEDLINE, CiNii, and the Japan Medical Abstract Society databases, with the keywords "COVID-19", "pregnant women", and "depression". The titles/abstracts were screened based on three selection criteria: 1) inclusion of pregnant women; 2) description of depression; and 3) description of the factors associated with depression among pregnant women during the COVID-19 pandemic. Results: Of the 213 articles extracted, 104 were excluded owing to duplication, and 14 were excluded because they comprised other article types, including reviews and commentaries. Finally, 40 were excluded by title, abstract, and full-text screening. Among the 45 articles for a total of 59,329 pregnant women that met the inclusion criteria, the risk factors were "distress from COVID-19-related experiences", "reduced/low income", "unemployment", "anxiety", "history of mental illness", "lack of social support", and "reduced/no exercise". The protective factors "greater/increased social support", "higher education level", "higher resilience", and "healthy lifestyle behaviors" were much less frequently reported than risk factors, and none were reported to be relevant for Japanese pregnant women. Conclusion: The findings indicate that preventive interventions should begin during pregnancy with a focus on these risk factors. In addition, the protective factors need to be strengthened. Further research is required to identify the protective factors associated with depression among Japanese pregnant women.