Background/Objectives: To collect evidence from studies that explored the associations between serum vitamin D (25[OH]D) concentrations/status and the presence of depressive/anxiety symptoms in the ante- and/or postnatal periods (PROSPERO-CRD42023390895). Methods: Studies that assessed serum 25[OH]D concentrations in adult women during the ante/postnatal periods and those that used valid instruments to identify the experience/severity of depressive/anxiety symptoms were included. Independent researchers performed the identification/selection of studies, data extraction, risk of bias (RoB) assessment, and bibliometric analysis steps. Results: Of the total of 6769 eligible records, 15 cohort studies [high (n = 3), moderate (n = 7), and low (n = 5) RoB], nine cross-sectional studies [moderate (n = 3) and low (n = 6) RoB], and one case‒control study [moderate RoB] were included (n = 25). Depression (n = 24) and anxiety (n = 4) symptoms were assessed. A significant difference in antenatal serum 25[OH]D concentrations between the groups of women with and without depression was identified (mean difference: −4.63 ng/mL; 95% confidence interval [95% CI]: −8.88; −0.38). Postnatal serum 25[OH]D concentrations were found to be, on average, −2.36 ng/mL (95% CI: −4.59; −0.14) lower in women with postnatal depression than in those without. Maternal antenatal anxiety was associated with significantly lower concentrations/deficiency of 25[OH]D in only one included study. Conclusions: Based on very low/low-quality evidence, it was observed that reduced serum 25[OH]D concentrations in the ante- and postnatal period are associated with the presence of ante- and postnatal depressive symptoms, respectively. Low/deficient antenatal serum 25[OH]D concentrations may not be related to the presence of anxiety symptoms before childbirth. Well-designed longitudinal studies are needed to explore the estimated pooled effect of these associations.