The developing fetus is particularly susceptible to environmental pollutants, and evidence has shown adverse effects of air pollutants on pregnancy and birth outcomes. Pregnancy loss, including spontaneous abortion (miscarriage) and stillbirth, is the most severe adverse pregnancy outcome. This review focuses on air pollution exposure during pregnancy in relation to spontaneous abortion and stillbirth. A total of 43 studies are included in this review, including 35 human studies and eight animal studies. Overall, these studies suggest that exposure to air pollutants such as particulate matter (PM), carbon monoxide (CO) and cooking smoke may be associated with higher risk for stillbirth and spontaneous abortion. PM10 exposure during an entire pregnancy was associated with increased risk of spontaneous abortion, and exposure to PM2.5 and PM10 in the third trimester might increase the risk of stillbirth. CO exposure during the first trimester of pregnancy was associated with an increased risk of spontaneous abortion and exposure during the third trimester was associated with an increased risk of stillbirth. Cooking smoke was found to increase the risk of stillbirths, and the evidence was consistent. Insufficient and conflicting evidence was found for various other pollutants, such as NO2 and SO2. Studies did not show clear evidence for associations between pregnancy loss and others pollutants such as heavy metals, organochlorine compounds, PAH and total dust count. Further research is warranted to better understand the relationship between air pollution exposure and pregnancy loss.