Poor sleep quality is common during pregnancy. Our objective was to evaluate the effect of supervised group physical exercise on self-reported sleep quality in pregnant women with or at high risk of depression, and secondly, to describe the association between sleep quality and psychological well-being during pregnancy and postpartum. This was a secondary analysis of a randomized controlled trial (n = 282) (NCT02833519) at Rigshospitalet, Denmark. Sleep quality was evaluated using the Pittsburgh Sleep Quality Index (PSQI), psychological well-being by the five-item WHO Well-Being Index (WHO-5). The intention-to-treat analysis showed no difference in mean global PSQI score neither at 29–34 weeks, 6.56 (95% CI: 6.05–7.07) in the intervention group and 7.00 (95% CI: 6.47–7.53) in the control group, p = 0.2, nor at eight weeks postpartum. Women with WHO-5 ≤ 50 reported higher mean global PSQI scores at baseline, 7.82 (95% CI: 7.26–8.38), than women with WHO-5 score > 50, mean 5.42 (95% CI: 5.02–5.82), p < 0.0001. A significant difference was also present post-intervention and eight weeks postpartum. No significant effect of group exercise regarding self-reported sleep quality was seen at 29–34 weeks of gestation or postpartum. Low psychological well-being was associated with poor sleep quality during pregnancy and postpartum.