Maternal protein restriction and physical activity can affect the interaction mother–placenta–fetus. This study quantified the gene expression of brain-derived neurotrophic factor (BDNF), neurothrophin 4, tyrosine kinase receptor B (TrkB/NTRK2), insulin-like growth factor (IGF-1), and insulin-like growth factor receptor (IGF-1r) in the different areas of mother’s brain (hypothalamus, hippocampus, and cortex), placenta, and fetus’ brain of rats. Female Wistar rats (n = 20) were housed in cages containing a running wheel for 4 weeks before gestation. According to the distance spontaneously traveled daily, rats were classified as inactive or active. During gestation, on continued access to the running wheel, active and inactive groups were randomized to receive normoprotein diet (18% protein) or a low-protein (LP) diet (8% protein). At day 20 of gestation, gene expression of neurotrophic factors was analyzed by quantitative polymerase chain reaction in different brain areas and the placenta. Dams submitted to a LP diet during gestation showed upregulation of IGF-1r and BDNF messenger RNA in the hypothalamus, IGF-1r and NTRK2 in the hippocampus, and BDNF, NTRK2, IGF-1 and IGF-1r in the cortex. In the placenta, there was a downregulation of IGF-1. In the brain of pups from mothers on LP diet, IGF-1r and NTRK2 were downregulated. Voluntary physical activity attenuated the effects of LP diet on IGF-1r in the hypothalamus, IGF-1r and NTRK2 in the hippocampus, IGF-1 in the placenta, and NTRK2 in the fetus’ brain. In conclusion, both maternal protein restriction and spontaneous physical activity influence the gene expression of BDNF, NTRK2, IGF-1, and IGF-1r, with spontaneous physical activity being able to normalize in part the defects caused by protein restriction during pregnancy.