Regular physical activity has been demonstrated to contribute to physical and psychological health. Nevertheless, pregnant women generally exhibit low levels of physical activity. Implementation of interventions that enhance the self-efficacy of pregnant women on increasing physical activity is required. This paper provides an in-depth review of studies reporting the effect of various physical activity interventions dedicated for pregnant women on pregnancy-related issues, including gestational weight gain, pain and depression, physical activity level, and quality of life among these individuals. Five databases were used in searching the literature. Findings of the included studies were presented narratively, and appraisal of their methodological quality was conducted using the quality assessment tool developed by Effective Public Health Practice Project. Review findings demonstrated that physical activity interventions are effective in enhancing physical activity levels of pregnant women. Further, they are potentially useful in alleviating pregnancy-related pain and psychological symptoms, reducing gestational weight gain, and increasing self-efficacy in enhancing physical activity levels among these individuals. Nevertheless, inconsistencies in findings between studies hamper the drawing of firm conclusions on these latter outcomes. Overall, studies demonstrated a positive effect of physical activity interventions on the well-being and physical and psychological health of pregnant women.