In this study, according to the exercise intensity (50–60% of HRmax (Maximum Heart Rate), RPE (Rating of Perceived Exertion: 11–13) proposed by The American Congress of Obstetricians and Gynecologists (ACOG) for pregnant women, mat Pilates exercise is related to body composition, lipid parameters, and pelvic stabilization. The effects on muscle and muscle damage were investigated. The subjects of this study were 16 pregnant women registered at the Cultural Center of Gyeonggi-do C Women’s Hospital, and the gestation period was 16 to 24 weeks. The mat Pilates exercise program (twice a week, 60 min per day, total 12 weeks) changed the Pilates exercise program every 6 weeks according to the subject’s pain level and physical fitness. Body composition before and after exercise, hip flexion, abduction and dilated lipids, inflammation, muscle damage, and stress hormones were measured through blood biochemical analysis. First, the difference in total body water, intracellular water, and skeletal muscle changes (post-pre) increased significantly in the Pilates exercise (PE) group compared to the control (CON) group, while the extracellular/intracellular water ratio significantly decreased. The effect of Pilates on body composition and lipid profile confirmed that, after testing, total body water (TBW), intracellular water (ICW), and extracellular water (ECW) were significantly greater than pre-test values in both groups (TBW: z = −2.286, p = 0.022, r = 0.572; ICW: z = −2.818, p = 0.005, r = 0.705; ECW: z = −1.232, p = 0.218, r = 0.308), whereas the ECW/ICW ratio decreased significantly only in the PE group (z = −2.170, p = 0.030, r = 0.543); while the increases in TBW and ICW were greater in the PE group than in the CON group, the ECW/ICW ratio decreased significantly in the PE group. Blood tests showed significant increases in body weight (BW), body fat mass (BFM), and percentage of body fat (PBF) in both groups post-test as compared to pre-test (BW: z = −1.590, p = 0.112, r = 0.398; BFM: z = −0.106, p = 0.916; PBF: z = −1.643, p = 0.100, r = 0.411). There was a slight increase in creatine kinase (CK) and lactate dehydrogenase (LDH), which are indices of muscle damage, and in the difference between the periods within the group, the CK and LDH of the CON group showed a tendency to increase significantly after inspection compared to the previous values (CK: z = −1.700, p = 0.089, r = 0.425, LDH: z = −2.603, p = 0.009, r = 0.651). Aspartate aminotransferase (AST) decreased significantly in the Pilates exercise group compared to that in the control group, and as a result of confirming the difference in the amount of change in C-reactive protein (CRP), there was no significant difference between the two groups, and the PE group showed a tendency to decrease after inspection compared to the previous period even in the difference between the periods in the group. The CON group showed an increasing trend, but no significant difference was found. Cortisol, a stress hormone, also increased significantly after inspection both groups compared to before (CON group: z = −2.201, p = 0.028; PE group: z = −2.547, p = 0.011). Therefore, the 12 week Pilates exercise program conducted in this study has a positive effect on body water balance and strengthens the muscles related to pelvic stabilization within the range of reducing muscle damage or causing muscle damage and stress in pregnant women. We think that it has an effective exercise intensity.