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Years ago the advice was to really limit exercise during pregnancy, but times have changed. Now studies find exercise during pregnancy beneficial for both the mother and baby. From Discover:

Exercise During Pregnancy Benefits Mom—And Baby, Too

Women who exercise with baby on board have been known to have, among other things, lower risks of gestational diabetes and pregnancy-induced high blood pressure than those who don’t.

In 1985, the American Congress of Obstetricians and Gynecologists came out with their first set of guidelines for exercise during pregnancy—guidelines, now considered conservative, that included suggestions like keeping strenuous activities to 15 minutes or less. Since then, research has turned that idea on its head. Exercise is now thought to be—for most women with healthy pregnancies—a boon for the mother's health, and for the baby she carries as well.

It’s been known that those who exercise—including pregnant women—tend to have lower resting heart rates than those who don’t. Lower heart rates can be a sign of an efficient heart; high heart rates have been linked to greater risk of cardiovascular disease. May, now at East Carolina University in North Carolina, has long been interested whether benefits like this extended to baby.  In a 2010 study, she and her colleagues collected a group of 26 pregnant women who reported that they’d been exercising three times a week for more than 30 minutes per session.  When researchers brought the moms into the lab at 36 weeks, they found that the babies in their bellies, too, had lower heart rates than those carried by the moms they studied who weren’t regular exercisers.

The results indicate that exercise during pregnancy, far from harming the fetus, can be incredibly beneficial for both mom and baby. And timing matters: exercise during pregnancy, as opposed to pre-pregnancy fitness, seems to be doing something extra-special, May says. In this most recent study, about half of the group hadn’t exercised previously, and still saw similar effects on their babies’ hearts. 

Such benefits to the heart may last into a child’s early life. Earlier this year, May and colleagues found that month-old infants still had higher heart rate variability if they had exercised along with their moms in utero. Another set of results from May’s group, not yet published, suggests that kids up to six years old still carry some of these early workouts with them: youngsters whose moms exercised while pregnant have higher “ejection fractions,” which indicates their hearts are pumping blood more efficiently.

Studies report that only about 10 to 30 percent of pregnant women are following recommended exercise guidelines—for healthy women, at least 30 minutes of moderate exercise most, if not all, days, according to the American Congress of Obstetricians and Gynecologists.. (Of course, some women can’t safely exercise during part or all of their pregnancy, and active women should watch out for warning signs while exercising, such as bleeding or contractions.)