Background: Physical activity performed while pregnant is beneficially associated with maternal cardiovascular health. It is unknown if benefits extend to neonatal cardiovascular health. This study investigated associations of maternal physical activity with neonatal cord blood lipid and lipoprotein concentrations. Methods: Cord blood lipids were measured at birth in a pseudorandomly selected subgroup of Born in Bradford birth cohort participants (N = 1634). Pregnant women were grouped into 4 activity categories (inactive/somewhat active/moderately active/active) based on their self-reported physical activity at 26- to 28-weeks gestation. Regression was used to calculate adjusted mean differences in neonatal cord blood lipid concentrations among the 4 groups of physical activity. Results: Maternal physical activity was associated with higher neonatal cord blood high-density lipoprotein cholesterol. Cord blood high-density lipoprotein cholesterol was higher in neonates of women who were somewhat and moderately active compared with neonates of women who were inactive. There were no associations of pregnancy physical activity with triglycerides, low-density lipoprotein, very low-density lipoprotein cholesterol, or adiponectin levels. Conclusions: Maternal physical activity is favorably associated with neonatal cord blood high-density lipoprotein cholesterol levels. This novel beneficial finding highlights the potential for physical activity in pregnancy to aid the early prevention of cardiovascular disease.