Current scientific evidence supports the recommendation to initiate or continue the practice of physical exercise in healthy pregnant women. Group exercise programs have positive effects in improving health and well-being, as well as social support. In order to understand the scientific evidence in this field, and the outcomes in maternal health, it has generated wide interest in exploring the studies carried out with more relevant group exercise programs. The aim of this systematic review was to evaluate the available evidence on the effectiveness of group exercise programs in improving women’s and newborns health outcomes during pregnancy. Three databases were used to conduct literature searches and strict inclusion and exclusion criteria were employed. Seventeen studies were selected for analysis. All studies were randomized control trials conducted with pregnant women that evaluated the effect of group exercise programs on the health outcomes of mother and newborn. Most studies followed a supervised structured exercise program including a main aerobic part, resistance training, pelvic floor training and stretching and relaxation sections. The significant effects of the programs are related with improved maternal perception of health status, lower maternal weight gain, improved levels of maternal glucose tolerance, improved aerobic fitness and muscular strength, lower frequency of urinary incontinence, improved sick leave due to lumbopelvic pain, fewer cesarean and instrumental deliveries, higher newborn Apgar score and faster postpartum recovery. Exercise and health professionals should advise pregnant women that aerobic group exercise during pregnancy improves a wide range of health outcomes for the women and newborns.