Preterm birth poses a significant risk to short- and long-term infant health, and can have significant negative effects on maternal mental health. Increased levels of anxiety during pregnancy might be related to gestational age. Identifying potential risk factors for preterm birth may offer the opportunity for early intervention and reduce adverse outcomes. Ten databases, including empirical and grey literature, were searched. Articles were screened at title, abstract, and full-text review by two independent reviewers, and were quality assessed using the JBI critical appraisal tools. Forty-one studies were identified for inclusion in the review, published between 1990 and 2022. Data were narratively synthesised due to heterogeneity in study designs. Results of the data synthesis indicate there is an inverse relationship between anxiety and gestational age or preterm birth. This relationship may be dependent upon timing of assessment, and measure of anxiety used. Assessing anxiety at a single timepoint may not be as accurate as assessments across all three trimesters. Concerted efforts should be made to distinguish between spontaneous preterm birth and medically indicated preterm birth, as anxieties during pregnancy may present differently between the two groups. Future studies should consider the assessment of anxiety across trimesters to assess change in mood, as well as the use of pregnancy-specific measures alongside general measures to support intervention during pregnancy.