Obesity is one of the most common health issues in pregnancy with short and long-term consequences for both mother and her offspring. Promoting moderate to vigorous physical activity (MVPA) and decreasing sedentary time (ST) could have a positive impact on weight and obesity management, and therefore adiposity-induced oxidative stress, inflammation, and atherogenesis. However, the effects of MVPA and ST on anti-oxidative and anti-atherogenic markers in pregnancy have not been studied to date. This study aimed to assess the association of longitudinally and objectively measured MVPA and ST in 122 overweight/obese women (BMI ≥ 29 kg/m2) with maternal and cord blood markers of oxidative stress measured by advanced oxidation protein products (AOPP), anti-oxidative capacity, as well as high-density lipoproteins (HDL) related paraoxonase-1 (PON-1) activity and cholesterol efflux. Linear regression models showed no associations of MVPA and ST with outcomes in maternal blood. In contrast, MVPA at <20 weeks and 24–28 weeks of gestation were positively associated with anti-oxidative capacity, as well as PON-1 activity of HDL in cord blood. MVPA at 35–37 weeks correlated with higher AOPP, as well as higher anti-oxidative capacity. ST <20 weeks was also positively associated with inhibition of oxidation in cord blood. We speculate that increasing MVPA of overweight/obese women during pregnancy attenuates the oxidative stress state in the new-born.