Recent studies have estimated the prevalence of depression during pregnancy to be between 10% and 30%, which is higher than that in the postpartum period. Pharmacological treatment during pregnancy is difficult because of the possible side effects of antidepressants on the mother and the fetus. The aim of this study was to examine whether a supervised exercise program (EP) reduces depressive symptoms in pregnant women. A randomized controlled trial was designed. One hundred eighty four healthy pregnant women from Fuenlabrada Hospital were included (31.37 ± 3.62 years). Women from the exercise group (EG) participated in a supervised EP consisting of three, 55- to 60-min sessions per week throughout pregnancy. The main outcome measure was the patients’ depression level assessed by means of the Center for Epidemiologic Studies Depression Scale (CES-D). A total of 167 pregnant women were analyzed; 90 were allocated to the EG and 77 to the control group (CG). Significant differences were found between groups at the end of the study in CES-D scores (EG: 7.67 ± 6.30 vs. CG: 11.34 ± 9.74, p = .005) and in percentages of pregnant women depressed (EG: n = 11/12.2% vs. CG: n = 19/24.7%, p = .04). Our results show that supervised physical exercise during pregnancy reduces the level of depression and its incidence in pregnant women.