Many clinical conditions require radiological diagnostic exams based on the emission of different kinds of energy and the use of contrast agents, such as computerized tomography (CT), positron emission tomography (PET), magnetic resonance (MR), ultrasound (US), and X-ray imaging. Pregnant patients who should be submitted for diagnostic examinations with contrast agents represent a group of patients with whom it is necessary to consider both maternal and fetal effects. Radiological examinations use different types of contrast media, the most used and studied are represented by iodinate contrast agents, gadolinium, fluorodeoxyglucose, gastrographin, bariumsulfate, and nanobubbles used in contrast-enhanced ultrasound (CEUS). The present paper reports the available data about each contrast agent and its effect related to the mother and fetus. This review aims to clarify the clinical practices to follow in cases where a radiodiagnostic examination with a contrast medium is indicated to be performed on a pregnant patient.