Though the positive link between physical activity and maternal health is well documented, physical activity declines during pregnancy and, internationally, rural mothers are less likely than urban mothers to engage in physical activity. Some evidence suggests that self-efficacy is related to sustained engagement in physical activity. The purpose of this study was to examine self-efficacy, perceived benefits, and knowledge of safe exercise among 88 rural pregnant women in a southeastern region of the United States. Exercise self-efficacy was significantly related to maternal age and gestation. Women over age 26 years, and those in the second and third trimesters, scored significantly higher than younger women or those in the first trimester. Fifty-two percent (n = 46) of participants perceived that activity would decrease energy levels, 37.5% (n = 33) did not know that exercise can decrease the risk of gestational diabetes, and 47.6% (n = 41) were unaware that a mother who is overweight is more likely to have an overweight child. Results confirm a need for education to improve women's knowledge about health benefits and safety information related to physical activity during pregnancy.