This study aimed to compare objectively recorded physical activity (PA) levels and walking steps among pregnant women. Cross-sectional data from a multiethnic cohort (n = 823) of pregnant women consisting of 44% from Western countries, 24% from South Asia, 14% from Middle East, and 18% from other countries. PA and steps were recorded by the activity monitor SenseWear™ Pro3 Armband. A total of 678 women were included in the analysis. Western women walked significantly more steps and had higher moderate-to-vigorous-intensity physical activity (MVPA) levels compared with South Asian women per weekday and weekend day. Interaction terms (P = 0.008) between ethnicity (Western vs South Asian) and parity, and education, respectively, were identified: having ≥1 children was positively associated with steps during weekends in South Asians in contrast to Western women. Having <12 years education was associated with more MVPA time among South Asians in contrast to Western women. South Asian women are prone to low levels of PA during pregnancy and South Asian women without children and with higher education may have an elevated risk for an inactive lifestyle during pregnancy.