Many women wonder if they should exercise during pregnancy and they, of course, should check with their doctors before starting any new exercise. But in general, a new study shows that women who kept exercising during pregnancy had infants more advanced motor skills. They performed movement tests on newborns at 1 month old and found those who had mothers engaging in aerobic activity during pregnancy had better motor skills than those who did not. Exercise was defined as activity that got the mother's heart rate up and blood flowing but not so strenuous women couldn't breath well or talk easily. A brisk walk, swimming, riding a stationary bike or low impact aerobics were some of the exercises listed in the trial.
The conclusion is that exercising if allowed by your doctor could result in healthier kids with better motor control and possibly more active in the future.
https://www.medicinenet.com/script/main/art.asp?articlekey=223315