Background There are many physiological changes occur during pregnancy that affect oxygenation of the pregnant women. It was considered that aerobic and breathing exercises are safe for the mother and the fetus especially moderate intensity exercise during pregnancy. Objective This study was designed to investigate the blood oxygenation response to aerobic exercise combined with breathing exercises in pregnant women. Methodology Forty pregnant women were selected from obstetrics and gynecology outpatient clinic at Kasr El Einy Hospital, Egypt, confidentiality was assured. They were ranged from 25 to 30 years old, with body mass index (BMI) less than 30 kg/m 2 and at the beginning of 3 rd trimester, this study was conducted from September 2019 to April 2020. They were assigned into two groups: group A performed aerobic exercise in a form of walking for 20 min. On the treadmill at 60–75% of the maximum heart rate (MHR) of each woman, three times per week in addition to deep breathing exercises in form of diaphragmatic and lateral costal breathing; group B who performed deep breathing exercises only in form of diaphragmatic and lateral costal breathing. The program continued for three months, three times per week. The oxygen saturation (SaO2) was measured twice time, firstly, at the beginning of 3 rd trimester of pregnancy then after three months of treatment program. Results The results of this study revealed a statistically significant difference in the oxygen saturation in group A than in group B. Conclusion It could be concluded that there was significant statistical effect of aerobic exercise combined with breathing exercises on blood oxygenation in pregnant women. It improved the oxygen saturation in pregnant women.