There is a direct link between healthy mothers and healthy infants. Exercise and appropriate nutrition are important contributors to maternal physical and psychological health. The benefits and potential risks of exercise during pregnancy have gained even more attention, with a number of studies having been published after the 2002 American College of Obstetrics and Gynecologists guidelines. A review of the literature was conducted by using PubMed, Scopus, and Embase to assess the literature regarding the benefits of exercise during pregnancy. The search revealed 219 publications, which the authors then narrowed to 125 publications. The purpose of this review is to briefly summarize the known benefits of exercise to the mother, fetus, and newborn.