To date, the precise prevalence of co-morbidity of anxiety and depression in the perinatal period is not well known. We aimed to estimate the prevalence of co-morbid anxiety and depression in the antenatal and postnatal periods. Systematic searches of multiple electronic databases were conducted for studies published between January 1950 and January 2016. We included 66 (24 published and 42 unpublished) studies incorporating 162 120 women from 30 countries. Prevalence of self-reported antenatal anxiety symptoms and mild to severe depressive symptoms was 9.5% [95% confidence interval (CI) 7.8–11.2, 17 studies, n = 25 592] and of co-morbid anxiety symptoms and moderate/severe depressive symptoms was 6.3% (95% CI 4.8–7.7, 17 studies, n = 27 270). Prevalence of a clinical diagnosis of any antenatal anxiety disorder and depression was 9.3% (95% CI 4.0–14.7, 10 studies, n = 3918) and of co-morbid generalized anxiety disorder and depression was 1.7% (95% CI 0.2–3.1, three studies, n = 3085). Postnatally between 1 and 24 weeks postpartum, the prevalence of co-morbid anxiety symptoms and mild to severe depressive symptoms was 8.2% (95% CI 6.5–9.9, 15 studies, n = 14 731), while co-morbid anxiety symptoms and moderate/severe depressive symptoms was 5.7% (95% CI 4.3–7.1, 13 studies, n = 20 849). The prevalence of a clinical diagnosis of co-morbid anxiety and depression was 4.2% (95% CI 1.9–6.6, eight studies, n = 3251). Prevalence rates did not differ with regard to year of publication, country income, selection bias and attrition bias. The results suggest that co-morbid perinatal anxiety and depression are prevalent and warrant clinical attention given the potential negative child developmental consequences if left untreated. Further research is warranted to develop evidence-based interventions for prevention, identification and treatment of this co-morbidity.