There have been a few studies that have evaluated the relationship between exercise during pregnancy, quality of life (QOL), and postpartum depressive symptoms in healthy pregnant women. In this prospective cohort study, published in the Archives of Womens Mental Health, 578 healthy pregnant women were followed during their pregnancy through 6 months postpartum. Researchers evaluated the levels of self-reported exercise and QOL before, during, and following pregnancy using standardized questionnaires during each trimester of pregnancy and 6 months postpartum. Depressive symptoms were assessed using the Edinburgh Postnatal Depression Scale (EPDS) at 28 weeks gestation and 6 weeks postpartum. Achieving at least 150 min of exercise per week was categorized as having “sufficient exercise”. Sufficient exercisers were found to report significantly higher ratings on most domains of QOL during each trimester of pregnancy and in the postpartum period, compared with insufficient exercisers. No significant between-group differences could be noted in depressive symptoms. On evaluating the impact of exercise during each trimester, active women who became sedentary during their third trimester showed a fall in their QOL. Achieving recommended levels of exercise during pregnancy was linked with higher QOL during pregnancy and the postpartum in these women. Decreasing the amount of exercise during pregnancy was, on the contrary, associated with reduced QOL. Health care professionals may, therefore, counsel healthy pregnant women about the benefits of physical activity during pregnancy, and must also guide them on how to remain physically active during a healthy pregnancy.