Extensive evidence documents that prenatal maternal stress predicts a variety of adverse physical and psychological health outcomes for the mother and baby. However, the importance of the ways that women cope with stress during pregnancy is less clear. We conducted a systematic review of the English-language literature on coping behaviours and coping styles in pregnancy using PsycInfo and PubMed to identify 45 cross-sectional and longitudinal studies involving 16,060 participants published between January 1990 and June 2012. Although results were often inconsistent across studies, the literature provides some evidence that avoidant coping behaviours or styles and poor coping skills in general are associated with postpartum depression, preterm birth and infant development. Variability in study methods including differences in sample characteristics, timing of assessments, outcome variables and measures of coping styles or behaviours may explain the lack of consistent associations. To advance the scientific study of coping in pregnancy, we call attention to the need for a priori hypotheses and greater use of pregnancy-specific, daily process, and skills-based approaches. There is promise in continuing this area of research, particularly in the possible translation of consistent findings to effective interventions, but only if the conceptual basis and methodological quality of research improve.