In the theory of continued fractions, Zaremba's conjecture states that there is a positive integer $M$ such that each integer is the denominator of a convergent of an ordinary continued fraction with partial quotients bounded by $M$. In this paper, to each such $M$ we associate a regular sequence---in the sense of Allouche and Shallit---and establish various properties and results concerning the generating function of the regular sequence. In particular, we determine the minimal algebraic relation concerning the generating function and its Mahler iterates.