Exercise and work during pregnancy are good for a mother's mental health - but the Growing Up in New Zealand study has found that they may also lead to having smaller babies.
The study has found that low levels of physical activity in early pregnancy, non-employment, unplanned pregnancies, family stress, domestic conflict, smoking and drinking alcohol were all associated with more symptoms of depression in mothers during and after pregnancy.
But it also found that exercising a lot in early pregnancy, and still being in paid work in late pregnancy, were associated with smaller babies.
The study says other research has found "the lower the birthweight of an infant, the greater the risk of neonatal death and development problems".
But study director Dr Susan Morton said the apparent contradiction was less serious than it seemed because physical activity in early pregnancy reduced the average baby's birth weight by only about 30g.