The aim of this study was to investigate the association between mental health and physical inactivity in 1,447 pregnant women in the second trimester of pregnancy. Subjects answered the short version of the International Physical Activity Questionnaire. Symptoms of depression and anxiety, and stress levels were assessed using the Center for Epidemiological Studies Depression Scale, the Beck Anxiety Inventory and the Perceived Stress Scale, respectively. The rate of physical inactivity was low (39.8%). The prevalence rates of symptoms of severe depression and severe levels of anxiety were 28.8% and 16.9%, respectively. The average perceived stress score was 24.9. An association was found between physical inactivity and not living with a partner (OR = 1.28), having a manual occupation (OR = 0.71) and, unexpectedly, normal and low levels of anxiety (OR = 1.46 and OR = 1.44, respectively). No association was observed between physical inactivity and symptoms of severe depression and perceived stress. It is plausible to assume that the majority of physical activity practiced by these women was attributable to housework or occupation which may in turn be associated with high levels of anxiety.