Objective Health research has demonstrated that physical activity during the postnatal period may play a crucial role in managing the physical and psychological challenges that women face during these times of transition. To promote physical activity during the postnatal period, mother-and-baby exercise classes are offered through several health and fitness organizations. The purpose of this study was to examine the effect of a moderate aerobic exercise session on feeling states when women exercised with their baby present compared to without their baby present. Methods Postnatal women (N = 23) participated in two 45-min exercise sessions: one with baby present and one without baby present. Exercise sessions were counterbalanced. The State Scale of the State-trait Anxiety Inventory and the Exercise-induced Feeling Inventory were used to assess feeling states pre- and post-exercise. To examine changes in feeling states during the exercise sessions and whether the changes differed between conditions, five separate mixed model ANCOVAs were conducted. Results There were no differences (P > .05) in feeling states when women exercised with or without their babies. However, both exercise conditions, showed significant improvements in feeling states from pre- to post-exercise session (P ≤ .001) on the Exercise-induced Feeling Inventory subscales and the State Scale of the State-trait Anxiety Inventory. Conclusion Exercising with baby present may be an effective option that allows mothers to balance care duties and a physically active lifestyle, while achieving psychological benefits associated with exercise participation.