The expectant royal strode in New York's Central Park on Monday accompanied by her husband Chris O'Neill. She was dressed for exercise in leggings, trainers and a tracksuit top, which clung to her burgeoning tummy.
Madeleine, 31, who was spotted last month looking ready for a workout in sports gear, wore her long blonde hair in a ponytail and held it in place with a New York Yankies cap.
Dad-to-be Chris walked alongside his pregnant wife in the Big Apple in blue tracksuit bottoms, a jacket and matching Yankies cap.
The pair, who announced their happy baby news at the beginning of September almost exactly 12 weeks after tying the knot, expect their first child at the start of March next year.
The Swedish Princess and her husband Chris reside in New York, where Chris is a financier. The princess meanwhile, works for her mother Queen Silvia's world Childhood Organisation.
The couple will stay in NYC for the time being, but as Madeleine said in a pre-wedding interview, they are not excluding "the possibility of moving to Sweden in due course".
Princess Madeleine recently revealed that her surprise pregnancy happened "a little fast and very suddenly."
In an interview with Swedish ELLE, the newlywed royal added that waiting for the pitter patter of tiny feet is "very exciting" and that she and Chris are "very happy".
Of the surprise element of her baby news she said, "It's better that way than to plan everything in advance and find that nothing happens."
The Princess, known as Maddie to her family and friends, plans to carry out her official engagements long into her pregnancy before giving birth in early March 2014.