Introduction: Proper nutrition during pregnancy is important to prevent nutritional imbalances that interfere with pregnancy. Micronutrients play critical roles in embryogenesis, fetal growth, and maternal health, as energy, protein, vitamin, and mineral needs can increase during pregnancy. Increased needs can be met by increasing the intake of dietary micronutrients. Severe micronutrient deficiency or excess during pregnancy can have negative effects on fetal growth (intrauterine growth retardation, low birth weight, or congenital malformations) and pregnancy development (pre-eclampsia or gestational diabetes). We investigate whether it is necessary to continue micronutrient supplementation during pregnancy to improve women’s health in this stage and whether this supplementation could prevent and control pathologies associated with pregnancy. Aim: The present review aims to summarize evidence on the effects of nutritional deficiencies on maternal and newborn morbidity. Methods: This aim is addressed by critically reviewing results from published studies on supplementation with different nutrients during pregnancy. For this, major scientific databases, scientific texts, and official webpages have been consulted. PubMed searches using the terms “pregnancy” OR “maternal-fetal health” AND “vitamins” OR “minerals” OR “supplementation” AND “requirement” OR “deficiency nutrients” were performed. Results: There are accepted interventions during pregnancy, such as folic acid supplementation to prevent congenital neural tube defects, potassium iodide supplementation to correct neurodevelopment, and oral iron supplementation during the second half of pregnancy to reduce the risk of maternal anemia and iron deficiency. A number of micronutrients have also been associated with pre-eclampsia, gestational diabetes mellitus, and nausea and vomiting in pregnancy. In general, experimental studies are necessary to demonstrate the benefits of supplementation with different micronutrients and to adjust the recommended daily doses and the recommended periconceptional nutrition for mothers. Conclusions: Presently, there is evidence of the benefits of micronutrient supplementation in perinatal results, but indiscriminate use is discouraged due to the fact that the side effects of excessive doses are not known. Evidence supports the idea that micronutrient deficiencies negatively affect maternal health and the outcome of pregnancy. No single micronutrient is responsible for the adverse effects; thus, supplementing or correcting one deficiency will not be very effective while other deficiencies exist.