In recent years it has been recognized that in all phases of life, including pregnancy, physical activity promotes health benefits and precludes comorbidities, the scientific evidence is indisputable. Several organizations around the world have updated in recent years the guidelines and recommendations for exercise in pregnancy. The December 2015, updated guidelines of the American College of Obstetricians and Gynecologists emphasize that physical activity in pregnancy has minimal risk. Although recommending exercise in pregnancy, the anatomic/physiological changes, absolute and relative contraindications should be considered. Women who exercised regularly before pregnancy, in the absence of contraindications, can continue and engage in moderate to strenuous activities, although information on strenuous activities in pregnancy is still limited. This review summarizes the most recent published and recommended guidelines.