Sleep disturbances are common during pregnancy. This study determined whether meeting physical activity or dietary guidelines during pregnancy was associated with improved sleep. Third trimester pregnant women (n = 49, 31.9 ± 4.1 years) completed physical activity and sleep questionnaires and then wore a wrist actigraph 24 h/day and completed three 24 h dietary recalls across two weeks. Participants who reported meeting physical activity guidelines (>150 min moderate-to-vigorous physical activity [MVPA]/week, n = 23) or dietary guidelines (≥1.1 g protein/kg body weight/day, n = 26 or ≥25 g fiber/day, n = 16) were compared to those who were physically inactive (<90 min/week) or did not meet dietary guidelines, respectively. Multivariate ANOVAs and Mann–Whitney U tests compared groups and correlations were conducted between physical activity, diet, and sleep variables. Physical activity groups did not differ in objective sleep measures (ps > 0.05); however, the active group reported better sleep quality (p = 0.049). Those who met protein guidelines exhibited longer sleep duration and less wake-after-sleep-onset (ps < 0.05). Across all participants, higher weekly MET mins/week of MVPA associated with better sleep quality (p = 0.02), and a diet higher in fat and lower in carbohydrates associated with longer sleep duration (ps < 0.05). Meeting physical activity and nutrition guidelines positively associates with improved sleep, with protein associated with objective measures and physical activity with subjective measures.