The aim was to analyze the knowledge and experience of women regarding physical activity during their latest pregnancy. An anonymous questionnaire was completed electronically, in 2018, by 9345 women who gave birth at least once, with 52% of the women having performed exercises during pregnancy. Physically non-active respondents suffered from gestational hypertension (9.2% vs. 6.7%; p < 0.01) and gave birth prematurely (9% vs. 7%; p < 0.01) to newborns with a low birth weight significantly more often (6% vs. 3.6%; p < 0.001). Physically active women delivered vaginally more often (61% vs. 55%; p < 0.001) and were more likely to have a spontaneous onset of the delivery as compared with non-active women (73.8% vs. 70.7% p = 0.001). The women who were informed by gynaecologist about the beneficial influence of physical activity during pregnancy exercised significantly more often (67% vs. 44% p < 0.001). In addition, 13% of the women felt discrimination due to their physical activity during a pregnancy, 22% of respondents’ physical activity was not accepted by their environment, and 39.1% of the women were told by others to stop physical exercise because it was bad for the baby’s health. Physical activity during pregnancy is associated with improved fitness, decreased pregnancy ailments occurrence, and therefore influences the course of pregnancy and delivery in a positive way.