Moderate-intensity physical activity is safe for generally healthy women during pregnancy. Physical activity reduces the risk of excessive weight gain and gestational diabetes during pregnancy. 
Physical activity increases cardiorespiratory fitness without increasing the risk of negative pregnancy outcomes, such as low birth weight, preterm delivery, or early pregnancy loss. Physical activity during the postpartum period (first year after delivery) also improves the mother’s cardiorespiratory fitness, decreases symptoms of postpartum depression, and, when combined with caloric restriction, can help her return to her pre-pregnancy body weight after delivery.

Source: 
U.S. Department of Health and Human Services. Physical Activity Guidelines for Americans, 2nd edition. Washington, DC: U.S. Department of Health and Human Services; 2018.