The prevalence of prenatal anxiety has increased during the COVID-19 pandemic. Anxiety is associated with other cardiovascular, physiological, and mental illnesses, resulting in adverse health effects for the mother and foetus. The purpose of this study was to evaluate the effects of physical activity (PA) during pregnancy on the prevalence of prenatal anxiety or symptoms of anxiety. A systematic review and two meta-analyses were performed (Registration No. CRD42021275333). Peer-reviewed articles reporting the effect of a PA intervention on anxiety during pregnancy were included. The first meta-analysis (MA) included 10 studies reporting final scores of prenatal anxiety. A negative association between moderate PA during pregnancy and prenatal anxiety was found in this analysis (z = −2.62, p < 0.01; ES = −0.46, 95% CI = −0.80, −12, I2 = 84%, Pheterogeneity = 0.001). The second MA included eight studies in which measures both before and after a PA intervention were reported. The findings of this analysis revealed a positive association between exercise practice during pregnancy and a decrease in prenatal anxiety scores (z = −3.39, p < 0.001; ES = −0.48, 95% CI = −0.76, −0.20, I2 = 71%, Pheterogeneity = 0.001). Supervised PA during pregnancy could prevent and reduce prenatal anxiety and anxiety symptoms.