Preterm birth is a major reason for infant mortality and morbidity, representing a public health concern worldwide. Regular and voluntary physical activity is healthy behaviour that should be incorporated by everyone, including pregnant women. On the other hand, some women are exposed to highly demanding occupational physical activities during pregnancy that might represent a threat to the fetus and to their own health. This paper is a literature review of studies (1987-2007) on physical activity during pregnancy and its relationship to preterm birth. Although the effects measured by the studies are not strong and the evidence is impaired by many methodological flaws, it seems that recreational or leisure-time physical activities performed regularly provide protection against prematurity. Studies on occupational physical activities, especially standing for long periods, present contrasting results - some presenting standing as a risk factor, but most showing no association. Housework and other daily activities do not seem to be associated with preterm birth. Regardless of the methodological aspects of the studies reviewed, there is a chance that the real effect of occupational physical activity is being blurred by some underlying factors not easily measured in epidemiological investigations. Our conclusions do not reject the idea that working conditions might represent danger for the pregnancy outcome, but only raise the question that maybe the mechanisms through which employment-related physical activities have been considered up till now could be better and more thoroughly studied. Future studies should pay additional attention to psychological and socioeconomic characteristics, without neglecting biological plausibility.