The present study aimed to evaluate the effects of treadmill maternal exercise on alterations induced by prenatal stress in neonatal mice. Female and male Balb/c mice were divided into five groups: control (CON), prenatal restraint stress (PNS), prenatal restraint stress and physical exercise before pregnancy (PNS + EX1), prenatal restraint stress and physical exercise during pregnancy (PNS + EX2), and prenatal restraint stress and physical exercise before and during pregnancy (PNS + EX3). Exercise was performed using a treadmill, at a speed of 10 m/min, for 60 min, 5 days a week. Maternal behavior was assessed on days 3, 4 and 5 postpartum (PPD). Placental gene expression of glucocorticoid receptor (GR), 11-β-hydroxysteroid dehydrogenase 2 (11β-HSD2), 5-hydroxytryptamine receptor 1A (5HT1AR), and corticotropin releasing hormone receptor 1 (CRHR1) were analyzed. In neonatal mice, the gene expression of GR, mineralocorticoid receptor (MR), CRHR1, 5HTr1, oxytocin Receptor 1 (OXTr1), tropomyosin related kinase B (TRκB), brain-derived neurotrophic factor exon I (BDNF I), and BDNF IV was analyzed in the brain (PND0) and hippocampus (PND10). Maternal exercise improved (p < 0.05) maternal care. In the placenta, maternal exercise prevented (p < 0.01) the increase in GR expression caused by PNS. In the brain from PND0, exercise before pregnancy prevented (p = 0.002) the decreased CRHR1 expression promoted by PNS. In the hippocampus of PND10 males, PNS decreased (p = 0.0005) GR expression, and exercise before pregnancy prevented (p = 0.003) this effect. In PND10 females, maternal exercise prevented (p < 0.05) the PNS-induced increase in MR expression. PNS + EX2 males showed increased (p < 0.01) BDNF I gene expression and PNS + EX1 females demonstrated increased (p = 0.03) BDNF IV expression. In conclusion, maternal physical exercise may play a role in modulating maternal-fetal health and may contribute to preventing neurodevelopmental changes induced by prenatal stress.