This study examined the variations in self-efficacy, self-esteem, and assertiveness levels among pregnant women engaging in sustainable exercise compared to those performing no physical activity. The study also explored the connection between these changes and the number of pregnancies. The sample included 220 pregnant women engaging in sustainable exercise and 210 pregnant women performing no physical activity. Sustainable exercisers were chosen from those engaged in physical activity for at least 30 min, twice a week. The participants were in the fourth to seventh month of their pregnancy. A simple random sampling technique was used to choose participants and a total of 430 pregnant women volunteered to participate in the study. The mean age of the participants was 31.45 ± 12.11 years. Data collection tools were the Self-Efficacy Scale (SES), the Coopersmith Self-Esteem Inventory (CSEI), and the Rathus Assertiveness Schedule (RAS). In data analysis, the impact of independent variables on self-efficacy, self-esteem, and assertiveness was evaluated by one-way ANOVA in groups of more than two, t-test in paired groups, the relationship between some independent variables and scales was evaluated by correlation, and descriptive features were shown as percentages. In cases where variance analyses were significant at 0.05 (p < 0.05), Tukey’s test was used as a post hoc test. The study’s results indicated a significant disparity between the mean self-efficacy and self-esteem scores of women engaged in sustainable exercise compared to those who were not. However, there was no significant difference between the two groups in terms of assertiveness levels. The mean scores of self-efficacy, self-esteem, and assertiveness differed significantly in respect to the number of pregnancies in exercising women. However, there were no significant differences in mean scores of self-efficacy, self-esteem, and assertiveness scores in terms of the number of pregnancies in women who did not exercise.