The hormonal and immunological changes that occur over the course of pregnancy are necessary to support a healthy pregnancy, but also dramatically affect female susceptibility to autoimmune and infectious diseases. While many studies of autoimmune and infectious disease pathogenesis report changes in immunological factors over the course of pregnancy, few studies consider the role that hormones play in orchestrating these immunological changes. The goals of this review are to: (1) evaluate the immunological shifts that occur during pregnancy; (2) determine the effects of pregnancy-associated hormones, in particular estrogens and progesterone (P4), on innate and adaptive immune responses; (3) provide relevant examples of pregnancy and pregnancy-associated hormones affecting the outcome of diseases caused by pathogens as well as recognition of self-antigens; and (4) identify general principles across diseases that might improve interpretation and treatment for immune-related diseases during pregnancy.