Objective The purpose of this study was to compare women’s levels of physical activity during early pregnancy and during the year before pregnancy, and to identify characteristics associated with discontinuing sports and exercise among women previously active during the year before pregnancy. Methods Data collected from 1,737 women enrolled in a prospective cohort study and who had no contraindications for exercise were included in this analysis. Measures of physical activity (including household and care-giving activities, active living and sports and exercise activities) during early pregnancy were compared to the year before pregnancy. Log binomial regression was used to identify factors associated with discontinuing sports and exercise during pregnancy. Results There was a statistically significant decrease in all summary measures of physical activity during early pregnancy. The largest decreases were observed in sports and exercise activity. Among women active before pregnancy, age <35 years, multiparity, less than university education, pre-pregnancy body mass index (BMI) ≥ 30 kg/m² and lower levels of pre-pregnancy exercise were associated with discontinuing sports and exercise activities during pregnancy. Conclusion Most women reduced their physical activity level during the first 20 weeks of pregnancy compared with their level of activity during the year prior to pregnancy, particularly for sports and exercise, although a small proportion of women in this study actually increased their activity in this area during early pregnancy. Participation in sports and exercise activity during pregnancy is potentially modifiable and could favorably impact perinatal health and maternal post-partum weight. The results of this study suggests that pregnancy is an event that leads to a decrease in physical activity.