Although discrete maternal exercise and polyunsaturated fatty acid (PUFA) supplementation individually are beneficial for infant body composition, the effects of exercise and PUFA during pregnancy on infant body composition have not been studied. This study evaluated the body composition of infants born to women participating in a randomized control exercise intervention study. Participants were randomized to aerobic exercise (n = 25) or control (stretching and breathing) groups (n = 10). From 16 weeks of gestation until delivery, the groups met 3×/week. At 16 and 36 weeks of gestation, maternal blood was collected and analyzed for Docosahexaenoic Acid (DHA) and Eicosapentaenoic Acid (EPA). At 1 month postnatal, infant body composition was assessed via skinfolds (SFs) and circumferences. Data from 35 pregnant women and infants were analyzed via t-tests, correlations, and regression. In a per protocol analysis, infants born to aerobic exercisers exhibited lower SF thicknesses of triceps (p = 0.008), subscapular (p = 0.04), SF sum (p = 0.01), and body fat (BF) percentage (%) (p = 0.006) compared with controls. After controlling for 36-week DHA and EPA levels, exercise dose was determined to be a negative predictor for infant skinfolds of triceps (p = 0.001, r2 = 0.27), subscapular (p = 0.008, r2 = 0.19), SF sum (p = 0.001, r2 = 0.28), mid-upper arm circumference (p = 0.049, r2 = 0.11), and BF% (p = 0.001, r2 = 0.32). There were no significant findings for PUFAs and infant measures: during pregnancy, exercise dose, but not blood DHA or EPA levels, reduces infant adiposity.