The objective was to assess the effect of exercise on behavior and cortisol concentrations around calving in dairy cows. Twenty-nine primiparous and 31 multiparous, pregnant, nonlactating Holstein (n = 58) and Jersey-Holstein crossbred (n = 2) dairy cows were assigned to control (n = 20), exercise (n = 20), or pasture (n = 20) treatments at dry-off using rolling enrollment. Cows were housed in a deep-bedded sand freestall barn at the University of Tennessee’s Little River Animal and Environmental Unit (Walland, TN). Exercise cows walked indoors 5×/wk for 1.4 ± 0.1 h at 1.88 ± 0.58 km/h Pasture cows were moved to an outdoor paddock 5×/wk for 1.8 ± 0.3 h/d. Control cows remained in the pen. Cows moved to maternity pens on the day of projected calving or when cows displayed signs of calving (i.e., holding of tail, swollen vulva) and treatments were discontinued. Video data of calving was reviewed by one observer with continuous sampling for 3 visually observable periods: initial observation of amniotic sac to amniotic sac rupture (P1); amniotic sac rupture to initial observation of calf’s feet (P2); initial observation of calf’s feet to calf expulsion (P3). Assisted calvings were excluded. Blood samples were collected on d 0 and 3, relative to calving, to assess cortisol concentrations. Accelerometers were attached to the rear fetlock of cows 3 d before dry-off, removed 14 d postpartum, and summarized by day for the 7 d before and after calving into lying time (h/d), lying bout frequency (bouts/d), lying bout duration (min/bout), and steps (n/d). Data were analyzed using mixed linear models (SAS v9.4). P2 (40.1 ± 5.9 min) lasted longer than P1 (4.4 ± 7.1 min) and P3 (24.0 ± 5.6 min; P < 0.01), regardless of treatment. Cortisol concentrations were greater on the day of calving than d 3 (6.23 ± 0.47 vs. 2.68 ± 0.49 ng/mL, respectively; P < 0.01), but did not differ among treatments (P = 0.86). Control cows had shorter, more frequent lying bouts compared with pasture and exercise cows (P ≤ 0.04), but lying time and steps did not differ (P ≥ 0.21). Exercise during late gestation may offset discomfort during calving without altering labor times or cortisol concentrations.