We systematically reviewed the effectiveness and safety of continuous subcutaneous insulin infusion (CSII) with insulin analogs compared with multiple daily injections (MDI) in pregnant women with diabetes mellitus. We searched Medline®, Embase®, and the Cochrane Central Register of Controlled Trials through May 2013. Studies comparing CSII with MDI in pregnant women with diabetes mellitus were included. Studies using regular insulin CSII were excluded. We conducted meta-analyses where there were two or more comparable studies based on the type of insulin used in the MDI arm. Seven cohort studies of pregnant women with type 1 diabetes reported improvement in hemoglobin A1c (HbA1c) in both groups. Meta-analysis showed no difference in maternal and fetal outcomes for CSII versus MDI. Results were similar when CSII was compared with MDI with insulin analogs or regular insulin. Studies had moderate to high risk bias with incomplete descriptions of study methodology, populations, treatments, follow up, and outcomes. We conclude that observational studies reported similar improvements in HbA1c with CSII and MDI during pregnancy, but evidence was insufficient to rule out possible important differences between CSII and MDI for maternal and fetal outcomes. This highlights the need for future studies to examine the effectiveness and safety of CSII with insulin analogs and MDI in pregnant women with diabetes mellitus.