Objective: To explore experiences with supervised group exercise during pregnancy in women with depression or low psychological well-being. Design: A qualitative descriptive study based on semi-structured, individual, in-depth interviews analyzed by means of thematic analysis. Setting: The Department of Obstetrics, Rigshospitalet, Copenhagen University Hospital, Denmark. Participants: Through a purposeful, criterion-based sampling strategy, women with a current diagnosis of depression with prescribed antidepressant and/or a score ≤50 on the five-item World Health Organization Well-being Index were included. The women were recruited from a randomized controlled trial on the effects of supervised group exercise (the EWE study) and participated in the exercise program during the period 26 January 2017–8 March 2018. A total of 282 pregnant women participated in the RCT, of which 143 women were allocated to the intervention group. Of these, 27 women were eligible and were invited; 19 accepted the invitation and were included in the current qualitative descriptive study. Diversity of age, parity, level of education and employment status was seen in the sample. The average time from completing the exercise program to conducting the interview was 6.5 months, ranging from 1 week to 13 months. Intervention: The participants were offered an in-hospital supervised group exercise program twice weekly for 12 weeks from 17–22 weeks gestation in addition to standard antenatal care. Measurements and findings: Qualitative thematic analysis of the interviews resulted in the identification of the overarching theme: Vulnerable yet strong. This theme was comprised from three main themes (1) From judging the body to feeling it, (2) A “we” is created, and (3) Taking responsibility and succeeding, together with nine sub-themes. Key conclusions: The supervised group exercise intervention provided experiences of peer support and increased body awareness, which contributed to an experience of improved psychological equilibrium and preparedness for the coming birth and motherhood. The findings suggest that participation in group-based supervised exercise during pregnancy in women with depression or low psychological well-being contributes to psychological resilience, which may persist as a positive influence postpartum and beyond. Implications for practice: In-hospital supervised group-based exercise can be a safe means to health promotion in a secure environment that supports pregnant women's physical and mental well-being while also preparing them for birth and the transition to motherhood.