The purpose of this study was to analyze the effect of real-time online Pilates exercise during COVID-19 on women’s body composition, blood lipids, and psychological health after childbirth. The participants were 16 pregnant women (24–28 weeks pregnant) enrolled at the C Women’s Culture Center in Seoul, South Korea, classified into online Pilates groups and non-exercise groups (PE, n = 8; CON, n = 8). The online Pilates program was conducted for 8 weeks, twice a week, and 50 min a day using a real-time video chat app. Participants visited the hospital twice for body composition and blood tests. Questionnaires on postpartum depression, sleep disorder, and stress were conducted at 6 weeks and 12 weeks after childbirth. We found a significant difference between groups in body composition. The weight, percentage of body fat, body fat mass, and BMI of the PE group decreased. Blood lipids showed significant differences between the groups in TC, TG, LDL and CRP, while insulin and HDL showed no difference. All blood lipids, insulin, and CRP in the PE group were reduced. There were significant differences between the groups in postpartum depression, sleep disorders, and perceived stress indices performed in the post-test, and the serotonin concentration in the PE group increased. Serotonin levels were significantly correlated with postpartum depression, body fat mass, and body fat rate. Pregnant women’s online Pilates in this study was effective at reducing weight and depression in women after childbirth and should be used to promote women’s mental health during COVID-19.