Pre-pregnancy obesity is a risk factor for preeclampsia, gestational diabetes, and hypertension. Regular exercise during pregnancy has been shown to decrease the risk of these obstetrical complications. The purpose of this prospective study was to measure the effects of an exercise program in normal-weight and overweight/obese pregnant women on blood pressure (BP) and cardiac autonomic function, determined by heart rate variability (HRV) and baroreflex sensitivity (BRS). Twenty-two sedentary pregnant women, recruited at 20 weeks gestational age (GA), were grouped as normal weight or overweight/obese. They were systematically assigned to an exercise (walking) group or control (nonwalking) group after the first participants were randomly assigned. Women in the walking groups participated in a 16-week, low-intensity walking program. BP, HRV, and BRS were measured at rest and during exercise at the beginning (20 weeks GA) and end (36 weeks GA) of the walking program. Results indicated that women in the control groups (especially overweight women) showed changes in BP, HRV, and BRS over pregnancy that were not seen in the walking group. Overweight women in the control group increased resting systolic BP by 10 mmHg and diastolic BP by 7 mmHg. HRV declined in the control group but not in the walking group. A reduction in BRS and R-R interval at rest was found in all groups except the walking normal-weight group. The results suggest that an exercise program could attenuate the increase in BP and the loss of parasympathetic tone associated with pregnancy, especially in overweight women.