There is evidence that the quality of life and mental health of pregnant women change during pregnancy. To evaluate the impact of physical activity on the quality of life and mental health of pregnant women with obesity or overweight, a systematic review was performed using six electronic databases (PubMed, Cochrane (CENTRAL), ScienceDirect, Scielo, BVS and PEDro). In total, 205 articles were collected, and after screening in accordance with the PRISMA declaration, six randomized clinical trials were selected. Methodological quality was assessed using the Cochrane RoB2 tool and a narrative synthesis of the results was performed. Physical activity interventions did not demonstrate statistically significant results on the quality of life and mental health of pregnant women with obesity or overweight. The effects of physical activity during pregnancy for women with obesity or overweight are varied due to the diversity of interventions implemented. Nonetheless, a discernible positive association emerges between stringent adherence to the prescribed physical activity regimen and enhanced physical well-being, weight management, and heightened aerobic capacity. In order to ascertain more definitive conclusions, rigorous clinical trials are needed that take into account the heterogeneity of interventions and ensure adequate adherence to the protocol.