Introduction: Insomnia is a frequent condition during pregnancy. The aim of this study was to assess if a walking promotion program from the 12th Gestational Week (GW) of pregnancy helps to prevent insomnia and improve the quality of sleep at third trimester. Materials and Methods: A prospective, randomized, and controlled trial was conducted with 270 pregnant women divided into 3 groups in parallel: maximum intervention group, I1 (pedometer and goal of 10,000 steps/day), minimum intervention group, I2 (pedometer without a goal), and control group (no intervention). All groups received recommendations about physical activity in pregnancy. A structured interview was performed at 13th, 20th, and 32nd GW, collecting pedometer mean steps/day, Athens Insomnia Scale (AIS), and Pittsburgh questionnaire (PSQI). Lineal regression models were conducted to determine the association between mean steps/day at 31st GW and AIS or PSQI score. Results: At 19th GW, groups I1 and I2 reached a mean of 6267 steps/day (SD = 3854) and 5835 steps/day (SD = 2741), respectively (p > 0.05). At 31st GW mean steps/day was lower for I2 (p < 0.001). Insomnia and poor sleep quality prevalence increased through pregnancy, but no differences between groups, within trimesters, were found (p > 0.05). Lineal regression showed no association between the average steps/day at third trimester of pregnancy and AIS and PSQI scores. Conclusions: Our walking promotion program based on pedometers did not help to prevent insomnia in the third trimester of pregnancy.