Depression and anxiety are common during pregnancy. Depression is associated with preterm birth, low birth weight, and intrauterine growth restriction. Risk factors related to depression and anxiety during pregnancy are poor social support, poor quality of intimate relationship, poverty and previous episodes to depression and anxiety. When these mental disorders are untreated, poor health behaviors are observed in pregnant patients including inadequate nutrition, smoking, drug use and failure to attend medical appointments. Inadequate maternal-fetal attachment is developed when mother is depressed. Self-harm is another situation of concern in depressed pregnant women. On the other side associated risks to antidepressant and anxiolytic treatment during pregnancy have to be considered, it has been reported miscarriage, perinatal death, lower birth weight, preterm birth and lower Apgar scores related to psychotropic drug use during pregnancy. Increased risk of malformation is still controversial, as well as developmental effects in children of mothers exposed to of psychotropic drugs. In this review we explore literature related to depression and anxiety during pregnancy to weigh risk and benefits of their treatment in the mother and the baby.