Pregnancy is often associated with poor sleep and high sedentary time (SED). We investigated the effect of physical activity (PA) interventions on sleep and SED in pregnant women. A secondary analysis of a randomized controlled trial (n = 219) explored the effect of structured supervised exercise training (EXE) or motivational counseling on PA (MOT) compared to standard prenatal care (CON) on sleep and SED during pregnancy. Three times during pregnancy, sleep was determined by the Pittsburgh Sleep Quality Index (PSQI) and SED by the Pregnancy Physical Activity Questionnaire (PPAQ). Also, a wrist-worn consumer activity tracker measured sleep and SED continuously. Data from the activity tracker confirmed that sleep time decreases, and SED increases by approx. 30 and 24 min/day, respectively, from baseline (maximum gestational age (GA) week 15) to delivery. Compared to CON, the global PSQI score was better for EXE in GA week 28 (−0.8 [−1.5; −0.1], p = 0.031) and for both EXE and MOT in GA week 34 (−1 [−2; −0.5], p = 0.002; −1 [−2; −0.1], p = 0.026). In GA week 28, SED (h/day) from PPAQ was lower in EXE compared to both CON and MOT (−0.69 [−1; −0.0], p = 0.049; −0.6 [−1.0; −0.02], p = 0.042). In conclusion, PA interventions during pregnancy improved sleep quality and reduced SED.