Objective To assess the effect of supervised group exercise on psychological well-being and symptoms of depression among pregnant women with or at high risk of depression. Design Randomised, controlled trial. Setting Department of Obstetrics, Copenhagen University Hospital, Rigshospitalet, Denmark. Population Pregnant women with a current or previous history of depression or/and anxiety requiring treatment within the last ten years, or use of antidepressants three months prior to or during pregnancy. Methods From August 2016–September 2018 the participants were randomly assigned to 12 weeks supervised group exercise from 17–22 weeks of gestation twice weekly, or to a control group. Main outcome measures The primary outcome was self-reported psychological well-being at 29–34 weeks of gestation, measured by the five-item World Health Organization Well-being Index (WHO-5). Secondary outcomes included delivery outcomes and psychological well-being (WHO-5) eight weeks postpartum. Results The analysis showed no significant effect on psychological well-being on the primary outcome. Mean WHO-5 score in the intervention group was 2.0 (95% CI: –1.3 to 5.2, p=0.2) higher than in the control group. Eight weeks postpartum the intervention group reported higher psychological well-being than the control group, mean difference in WHO-5 of 5.5 (95% CI: 1.0–10.1, p=0.04). Conclusions Supervised group exercise did not improve psychological well-being for women with or at high risk of depression at 29–34 weeks of gestation. Eight weeks postpartum the intervention group reported significant higher psychological well-being than the control group. Funding The Danish foundation TrygFonden and Copenhagen University Hospital, Rigshospitalet. ClinicalTrials.gov (NCT02833519). https://clinicaltrials.gov/ct2/show/NCT02833519?term=EWE&cntry=DK&draw=2&rank=1