We sought to examine the levels, types, and changes of physical activity and their correlates among pregnant women. Data came from 9,889 pregnant women with due dates between April 1, 1991 and December 31, 1992 who were participants of the Avon Longitudinal Study of Parents and Children (ALSPAC) in Bristol, Avon, Southwest England. Self-reported physical activity during pregnancy was collected via questionnaires administered at 18 and 32 weeks of gestation. We found, at 18 weeks of gestation, the prevalence of engaging in physical activity that was sufficient to cause sweating for ≥ 3 h/week (referred to as strenuous physical activity) was 48.8%. This percentage was similar at 32 weeks of gestation. The most common physical activity during pregnancy reported by these women was brisk walking, followed by swimming and ante-natal exercise. In models that mutually adjusted for all characteristics examined, younger women, women in lower social classes, those not employed during pregnancy, married and parous women (compared to those not in each of these groups) were more likely to report engaging in strenuous physical activity. After becoming pregnant, about two out of three of these women reported reducing physical activity levels at 18 weeks of gestation. In mutually adjusted models, women who were younger, fit and well, parous, and women from lower social classes (compared to those not in each of these groups) were less likely to report reducing their physical activity. Our findings provide insights that are relevant to the design of future observational and intervention studies concerned with the effects of physical activity during pregnancy on health outcomes for mothers and offspring.