Background: Past research shows that psychosocial stress and distress predict sedentary behavior and physical activity, but few studies focus on pregnant women. Our objective was to analyze relationships between psychosocial stress and distress with sedentary behavior and physical activity among pregnant women in Canada. Methods: We analyzed objectively-measured sedentary behavior and physical activity at 16–18, 24–26, and 32–24 weeks pregnancy in a sociodemographically diverse cohort of 70 women in Montreal, Canada. Participants completed the Perceived Stress Questionnaire and wore an accelerometer for 3 days that quantified sitting time and steps per day. We used univariate general linear models to analyze relationships between perceived stress with sedentary behavior and physical activity at each evaluation. To assess generalizability, we analyzed relationships between psychological distress with self-reported leisure-time sedentary behavior and daily energy expenditure in transportation and leisure physical activities among a sample representative of 166,095 women in the Canadian Community Health Survey. Results: In the Montreal cohort, we observed a positive association between perceived stress and sitting time, with small to moderate effect sizes (partial η2 = 0.08–0.16). We observed negative relationships between perceived stress and steps per day at the first two evaluations only, with small to moderate effect sizes (partial η2 = 0.08–0.11). Relationships for sedentary behavior were similar in the nationwide sample, but with smaller effect sizes (partial η2 = 0.02). There were no relationships between distress and physical activity in the nationwide sample. Conclusion: Psychosocial stress represents one risk factor for sedentarity, with relationships evident throughout pregnancy and at the population level. Relationships with physical activity are less consistent, but stress might represent a risk factor for low physical activity in early to mid-pregnancy. Results might guide the development of more comprehensive interventions targeting stress, sedentarity, and physical activity. In particular, integrating psychosocial health into interventions to reduce sedentarity, and including concrete guidelines on sedentary behavior in psychosocial health interventions, might be prioritized.