Objective: To estimate physical activity (PA) in healthy women before and during pregnancy and to evaluate the features associated with moderate PA (MPA). Methods: A prospective cohort study was conducted on women selected 14 weeks of pregnancy during 2013–2015 in primary public health service centers in southern Spain. Type, duration, and frequency of PA (IPAQ questionnaire in first, second, and third trimesters [T1, T2, T3]) were measured. Variables associated with MPA were evaluated using multiple logistic regressions controlling for age, pre‐pregnancy obesity, level of education, number of living children, pre‐pregnancy PA, and adherence to Mediterranean diet (AMD). Results: Out of 463 women, MPA was estimated in 64% pre‐pregnancy, and 54%, 61%, and 59% in T1, T2, and T3, respectively. MPA was associated with greater AMD in T2 (adjusted odds ratio [aOR] 1.17, 95% confidence interval [CI] 1.04–1.33) and T3 (aOR 1.16, 95% CI 1.02–1.31), previous PA (aOR 13.5, 95% CI 8.12–22.5 in T1; aOR 2.61, 95% CI 1.72–3.96 in T2; aOR 2.59, 95% CI 1.65–4.05 in T3), and pre‐pregnancy obesity (aOR 2.97, 95% CI 1.28–6.89 in T1; aOR 2.69, 95% CI 1.23–3.60 in T3). Conclusion: PA decreased at the beginning of pregnancy, but compliance remained over 50%. MPA was associated with diet, pre‐pregnancy PA, and obesity. Synopsis: Moderate physical activity (MPA) was achieved by >50% of women during pregnancy. MPA was associated with healthy diet, pre‐pregnancy obesity, and greater PA before pregnancy. [ABSTRACT FROM AUTHOR]