Purpose The aim of this study was to compare the changes in emotional states in pregnant women after completing a relaxation session and a one-off physical exercise class. Methods. The study included 139 pregnant women between the ages of 22 to 34 years (28.59 ± 2.99 years) in their second and third trimesters of pregnancy who were participating in one of three programs: a progressive relaxation course, a physical exercise program, or a traditional childbirth education program (control group). Emotional states were assessed by McNair, Lorr, and Droppleman’s Profile of Mood States immediately before (pre-test) attending their seventh respective class and then immediately after finishing it (post-test) Results. The pre-test emotional state of participants in all three groups was similar. Post-test, both the exercise and relaxation groups featured significantly improved emotional states, with the changes greater than those of women who attended the prenatal class. Pregnant women who participated in physical exercise were less troubled and tense and characterized by a higher level of vigor than the control group. Conclusions. Physical exercise may be especially helpful in coping with fatigue and feeling tired, while relaxation training is more beneficial for women with elevated levels of anxiety and depression.