The psychological benefits of physical exercise have been reported in numerous populations. While studies have found elevated stress and depressed mood during pregnancy and no adverse birth effects associated with low to moderate intensity exercise, few have examined exercise in relation to psychosocial outcomes during pregnancy. The present study examined leisure-time physical activity (LTPA) patterns during pregnancy and its association to psychological well-being. In each trimester of pregnancy 180 women self-reported on frequency, form and duration of LTPA through structured interviews. Beginning in the third month of pregnancy, data was collected monthly on depressed mood (Lubin depression adjective checklist), state-anxiety, pregnancy-specific stress (pregnancy experiences questionnaire) and Hassles Scale. Independent samples t-tests comparing exercisers and non-exercisers in each trimester showed exercisers reported significantly less depressed mood, daily hassles, state-anxiety and pregnancy-specific stress in the first and second trimester. Women who exercised in the third trimester reported less state-anxiety in that trimester compared to non-exercisers. The results indicate a consistent association between enhanced psychological well-being, as measured by a variety of psychosocial inventories, and LTPA participation particularly during the first and second trimesters of pregnancy. In healthy pregnant women, even low-intensity regular exercise may be a potentially effective low-cost method of enhancing psychological well-being.