To evaluate the effect of the COVID-19 pandemic on anxiety and depression of women during pregnancy and perinatal period. We systematically searched online databases to identify any report on maternal depression during pregnancy or postpartum using the Edinburgh Postnatal Depression Survey (EPDS) and maternal anxiety using the State-Trait Anxiety Inventory (STAI) until 5th July 2020. The random-effects model was used to pool the effect sizes and standardized mean differences (SMDs) and the corresponding 95% confidence intervals (CIs). Eight studies reported depressive and anxiety states of 7750 women, either pregnant or postpartum were included. The overall pooled EPDS score was higher among women during pandemic (SMD= 0.40, 95% CI: -0.05 - 0.86, p = .083) compared to previous non-pandemic times, without reaching a statistically significant difference. However, the overall pooled STAI score was significantly higher during pandemic (SMD= 0.82, 95% CI: 0.49 - 1.16, p < .001). No significant publication bias existed in selected studies (p > .05). The present meta-analysis provides evidence that the COVID-19 pandemic significantly increases the risk of anxiety among women during pregnancy and perinatal period. Support measures should be considered for women during pregnancy or perinatal period to guarantee mental health for this susceptible population.