Exercise and work during pregnancy are good for a mother's mental health - but the Growing Up in New Zealand study has found that they may also lead to having smaller babies.
The study has found that low levels of physical activity in early pregnancy, non-employment, unplanned pregnancies, family stress, domestic conflict, smoking and drinking alcohol were all associated with more symptoms of depression in mothers during and after pregnancy.
But it also found that exercising a lot in early pregnancy, and still being in paid work in late pregnancy, were associated with smaller babies.
The study says other research has found "the lower the birthweight of an infant, the greater the risk of neonatal death and development problems".
But study director Dr Susan Morton said the apparent contradiction was less serious than it seemed because physical activity in early pregnancy reduced the average baby's birth weight by only about 30g.
By far the biggest effect on birthweight was maternal smoking, which reduced the baby's weight by an average of 170g (0.17kg). Overall 79 per cent of babies were born with a healthy birthweight of between 2.5 and 4kg. Five per cent were under 2.5kg and 16 per cent were over 4kg.
Dr Morton said exercise was generally good for everyone's health, including pregnant women.
"Being active in pregnancy probably tends to mean that that woman is going to be active post-natally, and the chances are that is creating an environment that is likely to be potentially better for the child in terms of learnt behaviours than being born into a home where exercise is not routine."
Health Ministry chief adviser for child and youth health Dr Pat Tuohy said each woman should talk to her midwife and doctor about the appropriate kind of exercise.