Negative psychological states such as depression, fatigue and anxiety are experienced by many women during pregnancy. This study examined whether engaging in an exercise programme during pregnancy is associated with improvements in psychological well-being among previously inactive women (n = 56, M age = 30.34, SD = 4.57; M weeks pregnant = 22.58, SD = 5.32). Participants completed the Profile of Mood States-Short Form and State Trait Anxiety Scale-Trait version at baseline and after four weeks of exercise. Exercise was assessed using accelerometers and these data were used to determine bouts of 30-min of moderate-to-vigorous exercise. Factorial repeated measures ANOVAs demonstrated that participants who met Canadian guidelines for exercise during pregnancy at week four (n = 17) experienced significant decreases in depression (p = .004, η(2) = .13), anger (p = .03, η(2) = .08), tension (p = .03, η(2) = .08), fatigue (p = .01, η(2) = .10), trait anxiety (p = .01, η(2) = .12) and increases in vigour (p = .001, η(2) = .19) compared to those who were not meeting guidelines (n = 39). From a psychological health perspective, these findings highlight the importance of continuing to promote exercise during pregnancy.