The researchers aren't sure exactly why exercising during pregnancy boosts newborn cognition, but they hypothesize that that exercise increases oxygen intake, which benefits the fetus in utero.
Many pregnant women will argue that energy and time is a huge factor that works against their ability to exercise when they're pregnant. However, in this study "moderate physical activity" was simply defined as at least 20 minutes three times a week. You can definitely do this! Don't forget that in addition to the beneficial cognitive effects of physical activity, it has also been linked to a more comfortable pregnancy, a better post-partum recovery and a decreased risk for obesity in children. On the flip side, a sedentary lifestyle during pregnancy has been linked to an increased risk for complications during pregnancy.
Hopefully, the researchers will be able to follow up with these infants when they are 1 year olds in order to evaluate their cognitive, motor and language development at that point to see if the cognitive differences that they observed while in infancy are maintained with time.