Objectives: The present study aimed to investigate the potential determining factors responsible for the mental health problems during the COVID-19 pandemic. Methods: The databases including PubMed/MEDLINE, Web of Science, and Cochrane Library were searched for the required articles in February, 2021. The quality of the studies was determined based on the STROBE checklist. Results: A total of 31 articles were included in this systematic review. Stopped in-person prenatal care and using the phone for prenatal care were significantly associated with greater changes of anxiety during COVID-19. Parity, gestational age, and pregnancy complication were found to be statistically and significantly associated with anxiety. Social and family supports were specifically associated with reduced anxiety. Women with low body mass index (BMI) were detected to be more prone to developing depression and anxiety. While obesity had protective effects on depression, stress and anxiety, lower sleep quality, lower household income, lower physical health, and less physical activity were found associated with higher anxiety levels. Other significant factors related to mental health included employment status, employment status, marriage status, household size, educational level, ethnicity, knowledge score, marital life satisfaction, and fear of the COVID-19 infection. Conclusions: Clinical, economic, and socio-demographic physical health were associated with mental health problem during COVID-19. Therefore, it was recommended that the potential determining factors should be further explored and identified in order to help protect people against mental health problems.