Postpartum depression (PPD) can begin within 6 weeks postpartum (International Classification of Diseases, 10th Revision) and represents a significant health problem for mothers. To determine whether physical activity during pregnancy alleviates PPD. Randomized controlled trial in which the exercise group practiced moderate physical exercise in an aquatic environment (1-hour sessions, 3 days a week), following the recommendations of the SWEP method. The results observed in the Edinburgh Postnatal Depression Scale were significant between the exercise group and the control group (p < .001). In addition, significant differences were observed according in body mass index between the exercise group and control group in the overweight and obesity categories (p < .05). Women who perform moderate physical exercise in an aquatic environment are at lower risk of PPD than sedentary women. Overweight and obesity among sedentary women during pregnancy are closely associated with positive screening for PPD.