Fetal impairment caused by a deleterious intrauterine environment may have long-term consequences, such as oxidative stress and genetic damage. Rats born as small-for-gestational-age (SPA) were submitted to exercise (swimming) before and during pregnancy. The animals exhibited glucose intolerance, reduced general adiposity, and increased maternal and offspring organ weight, showing the benefit of exercise for these rats. We hypothesised that regular exercise in SPA during gestation could prevent DNA damage in these animals and in their offspring, contributing to altered fetal programming of metabolism in the offspring. Severe diabetes was induced by streptozotocin treatment, to obtain SPA newborns. At adulthood, pregnant SPA rats were randomly distributed into two groups: exercised (SPAex - submitted to swimming program) or not-exercised (SPA - sedentary rats). Post-partum, blood was collected for analysis of DNA damage (comet assay) and oxidative stress. SPAex rats presented lower DNA damage levels, decreased lipid peroxidation, and a lower rate of newborns classified as large-for-pregnancy-age. DNA damage was also lower in SPAex newborns. We conclude that swimming applied to SPA pregnant rats contributes to decreased DNA damage and lipid peroxidation in the dams, and decreased DNA damage and macrosomia in their offspring.