Background: Sleep disturbances are common among women in the third trimester of pregnancy due to physiological, hormonal, and anatomical changes that may negatively affect maternal and fetal well-being. Non-pharmacological interventions, such as pregnancy exercise, are increasingly recommended to improve sleep quality safely during pregnancy. Objective: This study aimed to examine the effect of pregnancy exercise on sleep quality among pregnant women in the third trimester in the working area of Siotapina Public Health Center, Buton Regency. Methods: A quantitative pre-experimental study with a one-group pretest–posttest design was conducted. A total of 44 third-trimester pregnant women were selected using purposive sampling. Sleep quality was measured using a structured sleep quality questionnaire before and after the pregnancy exercise intervention. Data were analyzed using descriptive statistics and the Wilcoxon Signed Rank Test to determine differences in sleep quality before and after the intervention. Results: Prior to the intervention, 63.6% of participants experienced poor sleep quality, while 36.4% reported good sleep quality. After participating in pregnancy exercise, the proportion of participants with good sleep quality increased to 68.2%, while those with poor sleep quality decreased to 31.8%. Statistical analysis showed a significant improvement in sleep quality following the intervention (Z = −3.742; p < 0.001). Conclusion: Pregnancy exercise is effective in improving sleep quality among pregnant women in the third trimester. The intervention helps reduce sleep disturbances by promoting relaxation and alleviating physical discomfort associated with late pregnancy.