The fetus is a semi-allograft for the maternal host in natural pregnancy, but the fetus is a complete allograft after oocyte donation (OD), and there is greater antigenic dissimilarity with the mother. Thus, OD pregnancy is a good model for understanding how the fetus is protected by the maternal immune system. Recent clinical data have revealed a higher risk of miscarriage, gestational hypertension, preterm birth, and low birth weight with OD pregnancy. There is also a higher incidence of chorionic deciduitis, dense fibrinoid deposits in the chorionic basal plate, inflammatory lesions in the chorionic plate, and C4d deposition on syncytiotrophoblasts in OD pregnancy. Impaired accumulation of T cells, regulatory T (Treg) cells, natural killer (NK) cells, and monocytes in the decidua basalis and poor remodeling of spiral arteries are observed in OD pregnancy irrespective of whether preeclampsia occurs. These findings may partly explain why OD pregnancy is associated with a high risk of gestational hypertension and preeclampsia. We need to clarify the immunological and pathological differences between uncomplicated and complicated OD pregnancy. In uncomplicated OD pregnancy, the level of HLA match between mother and baby is significantly higher than would be expected by chance, suggesting that miscarriage may be frequent with marked HLA mismatch. This review discusses the relationship between various aspects of the immune system and complications of OD pregnancy.