Medication use in pregnancy is common, but information about the safety of most medications in pregnant women or their infants is limited. In the absence of data from randomized clinical trials to guide decisions made by regulators, clinicians, and patients, we often have to rely on well-designed observational studies to generate valid evidence about the benefits and risks of medications in pregnancy. Spontaneous reporting, primary case-control and cohort studies, pregnancy exposure registries, and electronic health data have been used extensively for studying medication safety in pregnancy. This article discusses these data sources, their strengths and limitations, and possible strategies and approaches to mitigating limitations when planning studies or interpreting findings from the literature. Strategies discussed include combining data sources across institutional or national borders, developing and using more sophisticated study designs, and taking advantage of existing analytic methods for more complex data structures, such as time-varying exposure or unmeasured confounding. Finally, we make recommendations for study designs that aid in better risk-related communication.