As many as 80% of women report experiencing poor sleep throughout pregnancy. Exercise is associated with many health benefits during pregnancy and is established as a non-pharmacological method to improve sleep in both pregnant and non-pregnant populations. Given the importance of sleep and exercise during pregnancy, the aim of this cross-sectional study was to (1) examine pregnant women’s attitudes and beliefs towards sleep and exercise during pregnancy, and (2) investigate the barriers women face to achieving good sleep and engaging in healthy levels of exercise. Participants were comprised of 258 pregnant Australian women (31.3 ± 5.1 years) who completed a 51-question online survey. Almost all (98%) participants believed exercise during pregnancy to be safe, whilst over half (67%) believed participating in more exercise will improve their sleep. Over 70% of participants reported experiencing barriers such as physical symptoms related to pregnancy that negatively impacted their ability to exercise. Almost all (95%) participants reported experiencing barriers to sleep in their current pregnancy. Present findings suggest that overcoming intrapersonal barriers should be a priority for any intervention aiming to improve sleep or increase exercise levels in pregnant populations. Findings from the present study highlight the need for a better understanding of women’s sleep experiences during pregnancy, and demonstrate how exercise may improve sleep and health outcomes.