(1) Background: Women’s pregnancy increases the odds of developing anxiety, depression, and low self-esteem. Physical activity can reduce the severity of maternal mental disorders and postpartum symptoms. The aim was to evaluate self-esteem, anxiety, and physical activity patterns among healthy pregnant women during three gestational trimesters (GTs). (2) Methods: A longitudinal prospective study involving 248 Portuguese pregnant women, monitored for a year during all GTs, was conducted. Self-reported questionnaires were used to collect personal and obstetric data, and Rosenberg’s Self-Esteem Scale, Zung Anxiety Scale, and a Pregnancy Physical Activity Questionnaire were applied. (3) Results: A total of 152 women presented valid follow-up data considered for analysis. All test scores do not present normality (p < 0.001). Over the gestational trimesters, the Zung anxiety scores did not show a significant change between GTs. However, the self-esteem values reduced significantly from 1st to 2nd GT: (1st GT = 43.94 (±9.94) [95%CI: 42.37 to 45.53]; 2nd GT = 27.27 (±9.64) [95%CI: 25.74 to 28.81]; 3rd GT = 25.71 (±10.52) [95%CI: 24.04 to 27.39]; p < 0.001), remaining stable in the last GT. Moderate to vigorous (2nd GT = 73.43 (±88.69) [95%CI: 59.34 to 87.54]; 3rd GT = 65.05 (±82.65) [95%CI: 51.92 to 78.19]; p = 0.008), vigorous (1st GT = 0.45 (±3.95) [95%CI: 0.83 to 2.08]; 2nd GT = 1.63 (±3.52) [95%CI: 1.07 to 2.19]; 3rd GT = 0.81 (±2.16) [95%CI: 0.46 to 1.15]; p = 0.0475), and light (2nd GT = 101.68 (±48.77) [95%CI: 93.93 to 109.44]; 3rd GT = 98.42 (±49.05) [95%CI: 90.62 to 106.22]; p < 0.001) physical activity levels were significantly reduced throughout the GTs, but the time spent in sedentary activities did not change. (4) Conclusions: In this follow-up study, it was possible to identify a critical point in the 2nd GT, when the drastic reduction in physical activity levels coincided with periods of lower self-esteem scores. However, anxiety levels do not seem to change over GTs.