Objective: The aim of this study was to determine the role of pelvic floor muscle exercises (PFME) in the prevention of stress urinary incontinence (SUI) during pregnancy and the postpartum period. Methods: A total of 102 women was included in the study. Data, collected through forms, included characteristics of the women, follow-up data during the pregnancy and postpartum period and a three-day urinary diary. Both groups were evaluated in terms of SUI at the 14th–20th, 28th and 32nd weeks of gestation and at 12 weeks postpartum. Results: As shown by the pad test, SUI developed in 5.8, 17.3 and 1.9% of the subjects in the intervention group at the 28th and 32nd gestational week and the 12th postpartum week, respectively. The relevant ratios in the control group were 30, 48 and 18%, respectively. A statistically significant difference was found between the intervention and control groups in terms of SUI development at the 28th and 32nd weeks of gestation and the 12th postpartum week (p < 0.05). Conclusion: PFME are effective for prevention of SUI development during pregnancy and in the postpartum period. Health care providers are therefore recommended to provide education and counseling to pregnant women about SUI prevention.