Background: A physically active lifestyle is beneficial during pregnancy. However, little is known about physical activity (PA) behaviour and psychosocial factors in women during and after pregnancy. This study examined exercise behavioural regulation, exercise self-efficacy, health-related quality of life, sickness absence and musculoskeletal pain in pregnant women offered either structured supervised exercise training, motivational counselling on PA, or standard prenatal care in the FitMum randomised controlled trial. Methods: Two hundred and eighteen healthy inactive pregnant women were randomised to structured supervised exercise training (n = 87), motivational counselling on PA (n = 86) or standard prenatal care (n = 45). The women answered the Behavioural Regulation in Exercise Questionnaire-2 (BREQ-2), the Pregnancy Exercise Self-Efficacy Scale (P-ESES-DK) and the Short Form 36 Health Survey Questionnaire (SF-36) at baseline (gestational age (GA) of max 15 weeks), GA 28 and 34 weeks, and one year after delivery. Sickness absence and low back and/or pelvic girdle pain were likewise reported in questionnaires at baseline and GA 28 weeks. Results: Participants offered structured supervised exercise training or motivational counselling on PA had higher autonomous motivation for exercise during pregnancy compared with participants receiving standard prenatal care (e.g., difference in intrinsic regulation at GA 28 weeks, structured supervised exercise training vs. standard prenatal care: mean difference in score 0.39 [0.16; 0.64], p < 0.001). Participants offered structured supervised exercise training also had higher exercise self-efficacy during pregnancy (e.g., GA 28 weeks, structured supervised exercise training vs. standard prenatal care: mean difference in score 6.97 [2.05; 12.02], p = 0.005). All participants reported high exercise self-efficacy at baseline and medium exercise self-efficacy during pregnancy and one year after delivery. No differences were found between groups in health-related quality of life, sickness absence or low back and/or pelvic girdle pain during pregnancy. No group differences were found one year after delivery. Conclusion: Structured supervised exercise training and motivational counselling on PA had important effects on autonomous exercise motivation during pregnancy. Exercise self-efficacy was also increased with structured supervised exercise training compared to standard prenatal care. No group differences in health-related quality of life, sickness absence, or pain were found during and after pregnancy. No effects were found one year post-delivery after intervention cessation. Trial registration: The study was approved by the Danish National Committee on Health Research Ethics (#H-18011067) and the Danish Data Protection Agency (#P-2019–512). The study adheres to the principles of the Helsinki declaration. Written informed consent was obtained at inclusion.