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Objective: The quality and quantity of sleep represent important health issues in pregnant women. Sleep disturbances could be associated, beyond alteration of quality of life, with poor pregnancy outcome. Our aim was to investigate the effect of a regular, specific, medium-term physical training program on sleep characteristics in healthy pregnant women. Materials and methods: A total of 132 healthy pregnant women, with gestational age between 18 weeks and 22 weeks, were enrolled in a prospective study. They were allocated into two groups; the first group involved 79 women (average age, 29.4 years) who performed a specific gymnastics program of 10 weeks, and the second group involved 53 pregnant women (average age, 27.9 years) who did not perform gymnastics. All participants completed a comprehensive questionnaire at baseline and after 10 weeks concerning general data, sleep characteristics, and psycho-emotional status. The changes arising within a diverse set of characteristics were followed and compared for the two groups using parametric and nonparametric statistics. Results: In the control group, we observed significant worsening of 12 out of the 14 studied parameters during the 10-week period. In comparison with the women who did not perform gymnastics, women who performed specific gymnastics showed the following characteristics: (1) significantly less deterioration of psycho-emotional status (stress and anxiety levels); (2) the same general pattern of decrease in sleep quality, which is related to the progression of pregnancy; and (3) a significant attenuation of the worsening of several sleep characteristics, such as restless sleep, snoring, diurnal tiredness, and excessive daytime sleepiness. Nocturnal and diurnal sleep quantity increased significantly in both groups. Conclusion: The 10-week training program designed for pregnant women has an overall beneficial effect on sleep characteristics, not by improving them but by attenuating their general deterioration related to the progression of pregnancy. Our data strengthen the general recommendation regarding participation of pregnant women in specific exercise programs, mainly for maintaining their psycho-emotional and general well-being.