Objective: To investigate the effect of changes in physical activities on depressive symptoms in the second trimester of pregnancy. Methods: Data from the Chinese Pregnant Women Cohort Study, from July 25, 2017 to November 26, 2018, were used. Women who had effectively completed the survey of physical activity and depressive symptoms in the first and second trimesters of pregnancy, were recruited. Both International Physical Activity Questionnaire-short and Edinburgh Postnatal Depression Scale were used, respectively. Pregnant women who had completed two surveys were included in our study and were divided into two groups according to the depressive symptoms, measured at the baseline. Among the pregnant women without depressive symptoms at the baseline, logistic regression was used to analyze the effects of changes in physical activity on the prevention of depressive symptoms. Effect on the reduction of depressive symptoms was analyzed, using the same method. Results: The prevalence rates of depressive symptoms were 23.83% and 20.57% in the baseline and second trimester, respectively. After adjusting for age, education level, occupation, family annual income and pre-pregnancy BMI, data from the logistic regression showed that women without depressive symptoms and with increased and adequate physical activities in the baseline, were with lower risks to develop depressive symptoms in the second trimester (OR=0.479, 95%CI: 0.335-0.684;OR=0.566, 95%CI: 0.394-0.815). Among women with depressive symptoms in the baseline survey, association between physical activity and depressive symptoms was not statistically significant (P>0.05). Conclusions: Increased and adequate physical activities showed preventive effects on depressive symptoms during pregnancy, but the remission effect was not obvious in women with depressive symptoms. Pregnant women should be encouraged to increase their physical activities while screening programs should also be carried out to reduce the depressive symptoms during pregnancy.