Objectives: To examine the predictive utility of the Theory of Planned Behaviour (TPB) in explaining pregnant women’s physical activity intentions and behaviour and to scrutinise the role of past behaviour within this context. Method: A repeated measures design required pregnant women to complete the Pregnancy Physical Activity Questionnaire (PPAQ) and TPB questionnaires on two occasions. Using published guidance, both formative and definitive stages were implemented as part of a comprehensive and robust approach to the construction of a TPB questionnaire. Results: Firstly, when considering the original TPB, intention emerged as the strongest determinant of pregnant women’s PA behaviour. Secondly, controlling for past behaviour attenuated the influence of intention and PBC on behaviour with neither of the original variables providing a unique influence. Finally, the addition of past behaviour led to an increase in the predictive utility of the TPB. Conclusion: Utilising the TPB as a flexible framework revealed the importance of contextual changes in the explanation of PA intention and behaviour during pregnancy. Physical activity profiling of pregnant women is proposed as a novel concept to present healthcare professionals and researchers with the opportunity to introduce tailored support based on motivation and behaviour status.