The foetus can be regarded as a half-allograft implanted into the maternal body. In a successful pregnancy, the mother does not reject the foetus because of the immune tolerance mechanism at the maternal-foetal interface. The innate immune cells are a large part of the decidual leukocytes contributing significantly to a successful pregnancy. Although the contributions have been recognized, their role in human pregnancy has not been completely elucidated. Additionally, the accumulated evidence demonstrates that the immune checkpoint molecules expressed on the immune cells are co-inhibitory receptors regulating their activation and biological function. Therefore, it is critical to understand the immune microenvironment and explore the function of the innate immune cells during pregnancy. This review summarizes the classic immune checkpoints such as PD-1, CTLA-4 and some novel molecules recently identified, including TIM-3, CD200, TIGIT and the Siglecs family on the decidual and peripheral innate immune cells during pregnancy. Furthermore, it emphasizes the role of the immune checkpoint molecules in pregnancy-associated complications and reproductive immunotherapy.