Objective Bed rest or activity restriction is a common obstetrical practice, despite a paucity of data to support its efficacy. The aim of this study was to determine whether physical activity, as assessed by a smart band activity tracker, is associated with preterm birth in pregnant women at high risk for preterm delivery. Methods This was a pilot prospective cohort study including pregnant women at high risk for preterm delivery between 24 and 32 weeks-of-gestation. Physical activity level was assessed by smart band activity. Patients with sonographic short cervical length ( 20 mm) were asked to wear the smart band activity tracker continuously for at least one week, including one weekend. Both physicians and patients were blinded to the data stored in the smart band activity tracker. No specific recommendations were given to participants as to the level or intensity of physical activity. The primary outcome was the rate of preterm birth (< 37 weeks-of-gestation). Secondary outcomes included the rate of delivery before 34 weeks of gestation and neonatal outcome. Parametric and nonparametric statistics were used for analysis. Results Study population included 49 pregnant women: 37 women (75.7%) delivered preterm and 12 (24.5%) delivered at or after 37 weeks-of-gestation. The median steps per day was significantly lower in patients who delivered preterm (3576, IQR: 2478–4775 vs. 4554, IQR: 3632–6337, p = 0.02). Regression analysis revealed that the median number of steps per day was independently inversely associated with preterm birth, after adjustment for maternal age, body mass index, gestational age at recruitment, cervical length, cervical dilatation and plurality. Conclusion This pilot study represents the first quantitative assessment of the association between physical activity and preterm birth. The results of this pilot study do not support the efficacy of decreased physical activity in the prevention of preterm birth in patients with sonographic short cervical length.