Background and Objectives: Pregnancy is a unique period in the life of every woman. The lifestyle of a pregnant woman has a significant impact on her and her child’s health. Regular physical activity is one of the elements that help maintain normal mental and physical well-being. In pregnant women who regularly have moderate physical activity, there is a lower risk of developing obesity and overweight. Physical exercises have an impact on maintaining proper muscular tonus, reduce pain and prepare for the exertion during labour. Based on the available literature, the aim of this study was to present the impact of physical activity on depressive disorders in pregnant women. Materials and Methods: A review of the literature was carried out in the Medline PubMed database. The basic search terms were: “pregnancy” AND “physical activity AND depression”. The work included only English-language publications published in the years 2000–2018. Results: A total of 408 references were found. On the basis of an analysis of titles, abstracts and the language of publication (other than English), 354 articles were rejected, and 54 articles were fully read, of which five were rejected due to lack of access to the full version. Finally, 17 references were included in the review. Conclusions: Physical activity, at least once a week, significantly reduces the symptoms of depression in pregnant women and may be an important factor in the prevention of depression in this period.