AimWe review evidence for effects of physical activity before and during gestation on the course of pregnancy and ask if there are circumstances where physical activity can stress the fetus due to competition for oxygen and energy substrates.ResultsWe first summarize physiological responses to exercise in nonpregnant people and known physiological adaptations to pregnancy. Comparing the two, we conclude that physical activity prior to and continuing during gestation is beneficial to pregnancy outcome. The effect of starting an exercise regimen during pregnancy is less easy to assess as few studies have been undertaken. Results from animal models suggest that the effects of maternal exercise on the fetus are transient; the fetus can readily compensate for a short‐term reduction in oxygen supply.ConclusionIn general, we conclude that physical activity before and during pregnancy is beneficial, and exercise started during pregnancy is unlikely to affect fetal development. We caution, however, that there are circumstances where this may not apply. They include the intensive exercise regimens of elite athletes and pregnancies at high altitudes where hypoxia occurs even in the resting state.