Objective To assess the levels of physical activity and exercise practice, and examine the associated maternal characteristics; as well as the anxiety levels of high-risk pregnant women. Methods A cross-sectional study conducted with pregnant women at a High-risk Prenatal Clinic (HRPC) in a tertiary maternity. Pregnant women of 18 to 40-years-old, with a single fetus, and with gestational age up to 38 weeks were included. The level of physical activity and exercise practice of the study's participants were investigated using the Pregnancy Physical Activity Questionnaire (PPAQ). Maternal sociodemographic, anthropometric, and medical data were investigated using a specific form. For anxiety levels, the short version of the State-Trait Anxiety Inventory (STAI) was applied. We used the Student t-test, chi-square test, odds ratio (OR) with 95% confidence interval (95% CI) and multiple logistic regression. The significance level was 5%. Results Among the 109 pregnant women included, 82 (75.2%) were classified as sedentary/little active. The higher energy expenditure were for domestic activities (133.81 ± 81.84 METs), followed by work-related activities (40.77 ± 84.71 METs). Only 19.3% women exercised during pregnancy (4.76 ± 12.47 METs), with slow walking being the most reported exercise. A higher level of education was the most important factor associated with women being moderately or vigorously active (OR = 29.8; 95% CI 4.9–117.8). Nulliparity (OR = 3.1; 95% CI 1.0–9.1), low levels of anxiety (OR = 3.6; 95% CI 1.2–10.7), and unemployment (OR = 4.8; 95% CI 1.1–19.6) were associated with the practice of exercise during pregnancy. Conclusion Most women with high-risk pregnancies exhibited a sedentary pattern, with low prevalence of physical exercise practice. Recognizing factors that hinder the adoption of a more physically active lifestyle is essential for an individualized guidance regarding exercise during pregnancy.