Objective: We assessed exercise levels and psychosocial aspects of exercise among pregnant smokers. Methods: A cross-sectional telephone survey of 88 pregnant smokers assessed levels of participation in exercise and psychosocial aspects of exercise; namely, self-efficacy, beliefs, perceived social support, perceived barriers, intentions and stage of change. Results: The women reported slightly higher levels of physical activity than for the general population of young women. The vast majority of women interviewed reported that exercise was important in their pregnancy, that they intended exercising regularly during pregnancy and were interested in exercise classes as an aid to smoking cessation. Fatigue was the most commonly reported barrier to physical activity during pregnancy, followed by ‘it takes too much time’, ‘uncomfortable when I exercise’ or ‘not sure what to do’. The vast majority of women expressed very little confidence and social support towards exercising. Conclusion: The results suggest that there is potential for using physical activity as an aid to smoking cessation during pregnancy. However, such interventions would need to be sufficiently intensive to address perceived barriers to exercise, lack of social support, low self-efficacy and be tailored to different stages of pregnancy.