Background <p>The study aimed to understand women’s perspectives and experiences around exercise during pregnancy, including women that experience mental illnesses.</p> Methods <p>The study utilised a cross-sectional online survey of women living in Australia who have experienced a pregnancy, recruited via social medial platforms and general practice clinics. The 45-item questionnaire collected data on demographics, exercise during pregnancy, mental illness diagnoses, attitudes regarding exercise during pregnancy and knowledge of exercise in pregnancy guidelines. Data were analysed using descriptive statistics and chi-square analyses, with pairwise comparison adjustments using Bonferroni correction.</p> Results <p>There were 695 responses. Respondents believe that regular exercise during pregnancy is safe (<i>n</i> = 593, 94%), and could prevent a decline in (<i>n</i> = 544, 88%), and improve (<i>n</i> = 570, 92%) a pregnant person’s mood. Most respondents (<i>n</i> = 425, 71%) were unaware of the World Health Organization (WHO)/Australian National guidelines regarding exercise during pregnancy. Despite most respondents (<i>n</i> = 412, 68%) participating in exercise during pregnancy, the majority did not meet the Australian recommended guidelines for total weekly moderate-intensity (<i>n</i> = 315, 79%) or vigorous physical activity (<i>n</i> = 301, 75%). Fewer respondents with a mental illness exercised during pregnancy compared to those without (<i>n</i> = 140, 61% vs. <i>n</i> = 272, 71%, <i>p</i> = 0.009). Most respondents (<i>n</i> = 458, 69%) received no or little advice from their healthcare provider about the safety and benefits of exercise during pregnancy, but 45% (<i>n</i> = 299) of respondents felt satisfied about the advice they did receive.</p> Conclusion <p>Women living in Australia believe that exercise during pregnancy is safe and has benefits for mental health but receive little advice about this from their healthcare provider. Women were not aware of or meeting the WHO/National guidelines regarding exercise in pregnancy. Importantly, fewer respondents with a reported mental illness exercised during pregnancy than those without a reported mental illness. Considering the potential benefits of exercise in pregnancy including for mental illness, strategies are needed to increase engagement with exercise during pregnancy, particularly those with a mental illness.</p>