Physical activity (PA) during pregnancy is beneficial for mother and child. Little is known regarding the effects of PA on specific adipokines/myokines and their impact during pregnancy. This study investigates the correlation between PA during late pregnancy, body composition, and maternal levels of leptin, IL-6, and TNF-α at delivery. In a cross-sectional study of 91 pregnant participants (mean age 33.9 ± 4.6 years) without gestational diabetes mellitus or preeclampsia, anthropometric data and blood samples were taken at delivery. PA during the third trimester was measured via the Pregnancy Physical Activity Questionnaire. Activities were ranked by intensity: sedentary (<1.5 metabolic equivalent (METs)), light (1.5–3.0 METs), moderate (3.0–6.0 METs), and vigorous activity (>6.0 METs). Leptin at delivery correlated positively with body composition and negatively with light PA intensity. Sedentary behaviour showed a positive correlation with IL-6 levels at delivery. Moderate activity during the last trimester, sedentary activity levels, and body composition had the greatest influence on maternal IL-6 at delivery. Completed weeks of pregnancy, moderate and light PA, and sedentary activity had the greatest influence on maternal TNF-α at delivery. PA during late pregnancy potentially affects circulating (adipo-)/myokines. Further studies are needed to examine causal relationships and the impact on maternal and new-born health.