We carried a thorough systematic review of the contemporary literature regarding the impact of maternal physical activity during pregnancy on the fetal and neonatal well-being parameters. We searched systematically publications indexed in PubMed and ScienceDirect, according to the PRISMA protocol. Studies examining following fetal and neonatal well-being parameters were included: fetal heart rate, active fetal movements, Doppler assessment of the placental and fetal circulations, amniotic fluid index, Apgar score, and umbilical cord blood acid-basis analysis at delivery. Altogether, 73 studies were identified (pooled sample size n = 7867). Out of these, 42 pertained to acute and 31 pertained to chronic exposure to maternal physical activity. The majority of the identified studies reported a positive or neutral effect of maternal physical activity on the fetal heart rate, Doppler-derived umbilical and cerebral blood flow parameters, and Apgar score. The literature regarding uterine arteries Doppler assessment, fetal active movements, amniotic fluid index, and umbilical cord blood acid-base analysis at delivery is sparse and does not allow us to generalize the inferences. Maternal physical activity during physiological pregnancy is safe for fetal and neonatal well-being when practiced according to recommendations. There is a need for better quality studies concerning the subject.