The multidimensional etiology of pain may explain the beneficial effects of regular physical activity, as evidenced by increased pain tolerance. Physically active people find it easier to exert themselves, which enables them to increase their physical activity, which in turn leads to a reduction in pain. However, no study investigated the physical activity and exercise tests as modulators of pain sensitivity in pregnant women. Therefore, this study aimed to investigate the changes in pain perception in pregnant women during pregnancy, with a particular interest in the effects of maximal progressive exercise test (CPET) and self-performed physical activity (PA). Thirty-one women with an uncomplicated singleton pregnancy (aged 23-41 years; M = 31.29, SD = 4.18) were invited to participate in pain sensitivity measurements before and after CPET twice during pregnancy (with an 8-week break). We found that pregnant women had a significantly lower pain threshold after a maximal exercise test than before, regardless of whether the test was performed in the second or third trimester of pregnancy. This effect was most pronounced in women with low levels of physical activity. Second, women with high physical activity had higher pain tolerance than women with moderate and low physical activity. In addition, physical activity levels predicted changes in pain tolerance over the course of pregnancy, with negative changes in women with low physical activity and positive changes in women with moderate physical activity. Finally, these associations were not reflected in differences in the subjective pain experience.