According to many national recommendations, women should be physically active during pregnancy, but empirical evidence to support this recommendation is sparse. The authors' aim in this study was to examine the relation between physical exercise during pregnancy and the risk of preterm birth. Self-reported data on physical exercise during pregnancy were collected prospectively for 87,232 singleton pregnancies included in the Danish National Birth Cohort between 1996 and 2002. Hazard ratios for preterm birth according to hours of exercise per week, type of exercise, and metabolic equivalent-hours per week, respectively, were calculated using Cox regression analysis. Results showed a reduced risk of preterm birth among the almost 40% of women who engaged in some kind of exercise during pregnancy in comparison with nonexercisers (hazard ratio = 0.82, 95% confidence interval: 0.76, 0.88), but no dose-response relation was seen. The association was not affected by the type of exercise, and the results were not altered when the degree of preterm birth was taken into account. These findings do not indicate any adverse effects of exercise on the risk of preterm birth and therefore do not contradict current recommendations.