Pregnant women and their infants are at high risk to develop a severe COVID-19, with increased rates of hospitalisation to intensive care units, need for mechanical ventilation and mortality. Preterm birth, fetal vascular malperfusion, and premature rupture of membrane have been the most reported adverse pregnancy outcomes and these effects have been especially associated with the onset of the disease at early gestational age. The early expression of ACE2 and TMPRSS2 in human embryos has been proven, determining an increased susceptibility to SARS-CoV-2. Preterm infants born to women infected by SARS-CoV-2 have a higher risk of need for specialist neonatal care with prolonged hospitalization. Moreover, inflammation of developing embryos could cause long-term defects, regardless of vertical transmission of SARS-CoV-2. Due to Maternal Immune Activation (MIA), in utero inflammation is associated with neurodevelopmental, cognitive and psychiatric disorders in affected offspring. Despite risks that COVID-19 could induce in pregnancy, there are not many published data describing the safety and/or efficacy of COVID-19 vaccines in pregnant women, commonly not included in vaccine research. The evidence from the few pregnant women unintentionally enrolled in clinical trials and vaccinated suggests that COVID-19 vaccines, both based on mRNA and viral vectors, do not pose significant risks to the fetus or breastfeeding infants. Moreover, human studies using mRNA-based vaccines against Zika virus, influenza, and rabies have reported good safety and immunogenicity during pregnancy. In this review, we evaluate the role of COVID-19 in adverse pregnancy and neonatal outcomes and the need to vaccinate pregnant women.