While exercise (EX) during pregnancy is beneficial for both mother and child, little is known about the mechanisms by which maternal exercise mediates changes in utero. Six-week-old female C57BL/6 mice were divided into two groups: with (exercise, EX; N = 7) or without (sedentary, SED; N = 8) access to voluntary running wheels. EX was provided via 24 h access to wheels for 10 weeks prior to conception until late pregnancy (18.5 days post coitum). Sex-stratified placentas and fetal livers were collected. Microarray analysis of SED and EX placentas revealed that EX affected gene transcript expression of 283 and 661 transcripts in male and female placentas, respectively (±1.4-fold, p < 0.05). Gene Set Enrichment and Ingenuity Pathway Analyses of male placentas showed that EX led to inhibition of signaling pathways, biological functions, and down-regulation of transcripts related to lipid and steroid metabolism, while EX in female placentas led to activation of pathways, biological functions, and gene expression related to muscle growth, brain, vascular development, and growth factors. Overall, our results suggest that the effects of maternal EX on the placenta and presumably on the offspring are sexually dimorphic.