Physical activity is recommended during pregnancy, although strong evidence on reproductive health is lacking. We present exercise habits and predictors of exercise during pregnancy. From the Danish National Birth Cohort (1996–2002), 88 200 singleton pregnancies were analyzed in logistic regression. About one-third of the women exercised in early/mid pregnancy and slightly less in late pregnancy. Bicycling, swimming, and low-impact activities were most common. Exercising more than three times per week was strongly correlated with older age, being a student or out of work, eating disorders, moderate alcohol consumption, and a healthy diet. Multiparity, a normal or less good self-rated health, smoking, and a less health conscious diet were the strongest predictors of not doing exercise. Women of 25 years or older, with metabolic or psychiatric disorders, or who had received subfecundity treatment were more likely to increase their activity level substantially from early to late pregnancy than comparison groups. In conclusion, exercising during pregnancy correlated with a number of maternal characteristics. The findings may be used to identify pregnant women not likely to exercise, to target activities that may fit their needs, and, for research purposes, to identify adjustment variables or guide sensitivity analyses when data on confounders are lacking.