Approximately 1:10 pregnant women experience depression during pregnancy (antenatal depression). It is essential that depression during pregnancy is effectively treated as unmanaged antenatal depression is associated with adverse effects for both mother and baby. After psychotherapy, selective serotonin reuptake inhibitors (SSRIs) are the most commonly prescribed treatments for antenatal depression. Non-pharmacological approaches including exercise are also advocated during pregnancy. However, there is a lack of data showing the efficacy of SSRIs or exercise for the treatment of antenatal depression. Therefore, in this PhD I established a rodent model to examine the effects of SSRI treatment and exercise during pregnancy on maternal behaviours and molecular markers in both the mother and offspring. I also designed and implemented a qualitative survey to explore the attitudes and experiences of Australian women about conducting exercise during pregnancy, including its effects on mental health. Collectively, this thesis has provided novel insights to suggest maternal SSRI use and exercise mediate effects on DNA methylation in the brains of both dam and offspring. It also provides novel evidence to suggest that exercise during pregnancy is beneficial for postnatal mental health.