From Nature:
Pregnant mice who take daily runs boost the production of new brain cells in their babies; but investigators say it is premature to say whether the same could be true in humans. Researchers already knew that exercise in adult animals can bump up the production of new neurons in a region of the brain called the hippocampus, which is involved in learning and memory. But now it seems that the effect can be passed from mother to offspring. The team gave one group of pregnant mice a running wheel and kept another group without. Given the chance, the animals ran about two to three kilometres per night, although they cut back as their pregnancy progressed.
During pregnancy, exercise seemed to dampen the growth of neurons in the developing embryos; babies in the wombs of exercising mothers had roughly 20% fewer neurons three-quarters of the way through pregnancy. But by the time mice were five weeks old, the situation looked quite different. The offspring of exercising mums were forming more neurons, and their hippocampus contained around 40% more of these cells in total.
More here.