Before and during pregnancy, women often aim to improve their lifestyle so as to provide a healthier environment for their developing child. It remains unresolved, however, as to whether physical activity (PA) during pregnancy poses a possible risk or whether it might even have beneficial effects on the developing child. There is increasing evidence that PA during pregnancy is indeed beneficial to maternal physiological and psychological health and that it is generally not detrimental to the fetal cardiovascular system and neuronal function in the developing child. This also led to international recommendations for PAs during pregnancy. In the current review, we aimed to comprehensively assess the evidence of beneficial and harmful effects of maternal PA, including high-performance sports, on fetal development. The different mental and body-based relaxation techniques presented here are frequently performed during pregnancy. We found a considerable number of studies addressing these issues. In general, neither low key, moderate maternal PA nor relaxation techniques were observed to have a harmful effect on the developing child. However, we identified some forms of PA which could have at least a transient unfavourable effect. Notably, the literature currently available does not provide enough evidence to enable us to make a general conclusive statement on this subject. This is due to the lack of longitudinal studies on the metabolic and cognitive effects of regular PA during pregnancy and the wide diversity of methods used. In particular, the kind of PA investigated in each study differed from study to study.