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Household food insecurity (HFI) has been related to adverse maternal‐child health outcomes and mental health worsening during pregnancy. Few studies evaluated the temporal association between HFI and anxiety and depressive symptoms in pregnant women, and this association remains not completely understood. This study aimed to systematically review the association between HFI and symptoms of depression and anxiety in pregnant individuals. The systematic review protocol was registered in the International Prospective Register of Systematic Reviews (CRD42022373615). Systematic searches were conducted on 10 electronic databases and grey literature. Two researchers independently conducted the study selection, data extraction process, and the risk of bias assessment. Random‐effects meta‐analysis models were used, and I2 > 40% indicated high heterogeneity across studies. Eighteen articles were included for the systematic review, comprising n = 27,882, and a total of 18,987 pregnant individuals aged between 14 and 45 years were included in the meta‐analysis. The prevalence of HFI reported in studies ranged from 12.6% to 62.1% (n = 17). The prevalence of depressive and anxiety symptoms ranged from 18% to 49% (n = 11) and 23% to 34% (n = 2), respectively. HFI during pregnancy was associated with increased odds of experiencing symptoms of depression [(OR: 2.52; 95% CI: 2.11–3.02), I2 = 73.23%]. The quality of evidence was very low due to high heterogeneity. Our findings highlighted the association between HFI and depression symptoms during pregnancy. Findings from this study suggest the importance of assessing HFI and mental health during pregnancy. Key messages: Increased anxiety and depressive symptoms frequently manifest in households with lower income levels, highlighting a notable correlation between socioeconomic status and mental health challenges.Household food insecurity (HFI) is associated with increased odds of experiencing depressive symptoms during pregnancy, presenting the intricate relationship between insufficient access to food resources and the exacerbation of mental health issues during pregnancy.Improving public policies focused on ensuring food security for pregnant individuals holds the potential to enhance positive psycho‐emotional health outcomes during pregnancy. [ABSTRACT FROM AUTHOR]