The current literature demonstrates that not only is exercise during pregnancy safe, but it has substantial maternal and infant benefits and appears to influence infant growth/size throughout pregnancy and at birth. However, many existing studies have investigated only the effects of prenatal exercise on birth weight. The purpose of this review was to determine the impact or association of maternal physical activity during pregnancy on neonatal body composition assessed between birth and two weeks of age. Electronic database searches were conducted on 29 July 2019 for randomized control trials and cohort studies, with an updated search completed on 8 January 2021. A total of 32 articles that met eligibility criteria were selected for review. Overall, prenatal exercise was not associated with infant body composition at birth. Yet, five of the studies identified suggest that infant body composition could be influenced by higher volumes of mid-to-late term prenatal physical activity. This systematic review was conducted according to the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines and registered in PROSPERO (Registration No. CRD42020160138).