Corticosteroids play an important role in the clinical management of threatened preterm delivery between 24 and 34 weeks of gestational age. It is known that corticosteroids have a direct, transient effect on fetal heart rate (fHR) parameters. Fetal heart rate variability is a reflection of autonomic nervous system activity and a useful marker for fetal well-being. Therefore, it is important to interpret the changes that occur in fHR parameters during corticosteroid treatment correctly, to avoid unnecessary iatrogenic preterm delivery. We performed a systematic review of the literature in CENTRAL, PubMed, and EMBASE, including 15 articles. In this review, we discuss the influence of corticosteroids on fHR parameters, in particular fHR variability, and fetal behavior. Furthermore, we explain possible mechanisms of action and confounding factors.