Background: Obstructive sleep apnoea (OSA) occurs in 15–20% of pregnant women living with obesity. As global obesity prevalence increases, OSA in pregnancy is concurrently increasing, yet remains under-diagnosed. The effects of treating OSA in pregnancy are under-investigated. Aim: A systematic review was conducted to determine whether treating pregnant women with OSA using continuous positive airway pressure (CPAP) will improve maternal or fetal outcomes, compared with no treatment or delayed treatment. Materials and Methods: Original studies in English published until May 2022 were included. Searches were conducted in Medline, PubMed, Scopus, the Cochrane Library and clinicaltrials.org. Maternal and neonatal outcome data were extracted, and quality of evidence was assessed using the Grading of Recommendations, Assessment, Development and Evaluations (GRADE) approach (PROSPERO registration: CRD42019127754). Results: Seven trials met inclusion criteria. Use of CPAP in pregnancy appears to be well tolerated with reasonable adherence. Use of CPAP in pregnancy may be associated with both a reduction in blood pressure and pre-eclampsia. Birthweight may be increased by maternal CPAP treatment, and preterm birth may be reduced by treatment with CPAP in pregnancy. Conclusion: Treatment of OSA with CPAP in pregnancy may reduce hypertension and, preterm birth, and may increase neonatal birthweight. However, more rigorous definitive trial evidence is required to adequately assess the indication, efficacy, and applications of CPAP treatment in pregnancy.