Health-related quality of life (QOL) is reported to be reduced during pregnancy. Associations between QOL, physical activity (PA), insomnia, depression and worry are insufficiently investigated among pregnant women. The aim of this study was to evaluate QOL and PA patterns among healthy pregnant women, and to examine how QOL might correlate to PA, sleep, worry and depression. This is an observational cross-sectional study, conducted among a convenient sample of 141 healthy pregnant women using five questionnaires: WHOQOL-brief (WHO quality of life questionnaire, brief version, ISI (Insomnia Severity Index), PSWQ (Penn State Worry Questionnaire), ZSRDS (Zung Self-Rating Depression Scale), and Pregnancy Physical Activity Questionnaire (PPAQ). Pre-gestational BMI was inversely correlated to overall health while education was positively correlated to psychological health, social relationships and environment domains. Smoking before and during pregnancy significantly impacted the general health and psychological health. Total and light PA were positively correlated to psychological health and social relationships. Sports/exercise showed positive correlations with several QOL domains. Insomnia and depression were significantly associated with a decrease in all domains of QOL, while worries were associated with a decrease in physical, psychological and environmental domains. There were significant negative correlations between ZSRDS scores and total activity. PA, worries, depression and insomnia affected QOL during pregnancy. Furthermore, pregnant women presenting depression had a reduced total PA. Sleep and mental health as well as encouraging PA during pregnancy are necessary to improve the quality of life of pregnant women.