We evaluated possible mediators underlying lifestyle intervention effects on neonatal adiposity, assessed with sum of skinfolds and cord blood leptin. This is a secondary analysis of the DALI study, a randomised controlled trial in nine European countries. Pregnant women with a pre-pregnancy body mass index of ≥29 kg/m² were randomly assigned to counselling for healthy eating (HE), physical activity (PA), HE&PA combined, or to usual care. We considered five maternal metabolic factors at 24–28 and 35–37 weeks of gestation, and four cord blood factors as possible mediators of the effect of combined HE&PA counselling on neonatal adiposity. From all potential mediators, the intervention only affected cord blood non-esterified fatty acids (NEFA), which was higher in the HE&PA group compared to UC (0.068 (mmol/L), 95% CI: 0.004 to 0.133). Cord blood NEFA did not mediate the HE&PA intervention effects on neonatal sum of skinfolds or cord blood leptin, based on an indirect effect on skinfolds of 0.018 (mm), 95% CI: −0.217 to 0.253 and an indirect effect on leptin of −0.143 (μg/l), 95% CI: −0.560 to 0.273. The Dali study observed reductions in neonatal adiposity in pregnant women with obesity, but we were not able to identify the underlying metabolic pathway.