The COVID-19 pandemic posed a threat to the mental health of many, especially pregnant women, a population already at-risk for mental health concerns. Regular physical activity (PA) is associated with better mental health in pregnant women, although the presence of the pandemic may have modified the strength of associations between PA and mental health during pregnancy. PURPOSE: To examine associations between PA status, pregnancy, and mental health (positive mental health [PMH], depression, anxiety and stress) in women during the COVID-19 pandemic. METHODS: Data from US women 18-34 years old (pregnant, n = 69, non-pregnant, n = 1115) was used from a larger study that examined COVID-19-related behavioral changes, social changes, physical, and mental wellbeing during April 3-June 3, 2020. Participants self-reported demographics, health history, regular current moderate and vigorous PA, depression (Beck Depression Inventory-II), anxiety (Beck Anxiety Inventory), PMH (Short Warwick-Edinburgh Mental Wellbeing Scale-7), and stress (Perceived Stress Scale-4). A series of 2 x 2 ANCOVAs evaluated the effects of activity (active/insufficiently active; based on meeting US PA guidelines of 150 min/wk of moderate-to-vigorous physical activity) and pregnancy status (yes/no), and their interaction, on PMH, depression, anxiety, and stress, covarying for education, income, chronic conditions, and past mental health conditions. RESULTS: Being active was significantly associated with better depressive symptoms, stress and PMH (all p < 0.05), while pregnancy and the interaction between activity and pregnancy were not associated with mental health (all p > 0.05). In pregnant women, being active was associated with a moderate depression difference (estimated means: 12.0 vs. 17.5; Cohen's d = -0.56) compared to being insufficiently active. In non-pregnant women, the depression difference by activity status was minimal (14.7 vs 15.6; d = -0.09). CONCLUSIONS: Meeting PA guidelines was associated with better mental health regardless of pregnancy status, underlining the importance of PA for mental health. The association of regular PA with lower depression in at-risk populations (eg, pregnant women) may be magnified during periods of increased vulnerability (eg, during a pandemic) and further research is warranted.