Background. Engagement in physical exercise in pregnancy is hamstrung by safety concerns, skepticism about usefulness, and limited individualized prescription guidelines. This study assessed knowledge and attitude of pregnant women towards antenatal exercises (ANEx). Methods. The cross-sectional study recruited 189 pregnant women from six selected antenatal clinics in Ile-Ife, South-West, Nigeria. Data were obtained on maternal characteristics, knowledge, and attitude towards ANEx. Results. Relaxation and breathing (59.8%), back care (51.3%), and muscle strengthening (51.3%) exercises were the most commonly known ANEx. Prevention of back pain risk (75.9%) and excess weight gain (69.1%) were perceived as benefits, while lower extremities swelling (31.8%) and extreme weight gain or loss (30.7%) were considered as contraindications to ANEx. 15.8% of the respondents had negative attitude towards ANEx resulting from insufficient information on exercise (83.3%) and tiredness (70.0%). Age significantly influences knowledge about contraindications to ANEx (P = 0.001), while attitude was influenced by age and occupation, respectively (P < 0.05). There was significant association between attitude and knowledge about benefits and contraindications to ANEx (P < 0.05). Conclusion. A majority of Nigerian pregnant women demonstrated inadequate knowledge but had positive attitude towards ANEx. Knowledge about benefits and contraindications to ANEx significantly influenced the attitude towards exercise in pregnancy.