Complications related to preterm birth (PTB) and low birth weight (LBW) are leading causes of infant morbidity and mortality. Prenatal depression is a hypothesized psychosocial risk factor for both birth outcomes. The purpose of this systematic review was to examine evidence published between 1977 and 2013 on prenatal depression and risks of these primary adverse birth outcomes. A systematic search of the PUBMED and PsycINFO databases was conducted to identify studies testing the associations between prenatal depressive symptoms, or diagnoses of depression, and risk of PTB or LBW. We systematically selected 50 published reports on PTB and length of gestation, and 33 reports on LBW and BW. Results were reviewed by two independent reviewers and we evaluated the quality of the evidence with an established systematic review method, the Newcastle Ottawa Scale. We then undertook a narrative synthesis of the results following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses guidelines. Less than a quarter of 50 published reports found that prenatal depression was significantly associated with PTB or gestational age. In contrast, slightly more than half of the 33 reports found that prenatal depression was associated with LBW or BW. When weighing methodological features, we determined that the effects of prenatal depression on LBW are more consistent than effects on length of gestation or PTB. Although the evidence may not be strong enough to support routine depression screening for risk of adverse outcomes, screening to enable detection and timely treatment to reduce risk of postpartum depression is warranted. Further rigorous research on prenatal depression and adverse birth outcomes is needed.