Hypertensive disorders of pregnancy (HDP) are the most common medical complication in pregnancy, affecting approximately 10–15% of pregnancies worldwide. HDP are a major cause of maternal and perinatal morbidity and mortality, and each year, worldwide, around 70,000 mothers and 500,000 babies die because of HDP. Up-to-date high-quality systematic reviews quantifying the role of exercise and the risks of developing HDP are currently lacking. Physical exercise is considered to be safe and beneficial to pregnant women. Supervised exercise has been shown to be safe and to be more beneficial than unsupervised exercise in the general population, as well as during pregnancy in women with obesity and diabetes. Therefore, we undertook a systematic review and meta-analysis to investigate the effects of women performing supervised exercise during pregnancy compared to a control group (standard antenatal care or unsupervised exercise) on the development of HDP. We searched Medline, Embase, CINHAL, and the Cochrane Library, which were searched from inception to December 2021. We included only randomized controlled trials (RCTs) investigating the development of HDP compared to a control group (standard antenatal care or unsupervised exercise) in pregnant women performing supervised exercise. Two independent reviewers selected eligible trials for meta-analysis. Data collection and analyses were performed by two independent reviewers. The PROSPERO registration number is CRD42020176814. Of 6332 articles retrieved, 16 RCTs met the eligibility criteria, comparing a total of 5939 pregnant women (2904 pregnant women in the intervention group and 3035 controls). The risk for pregnant women to develop HDP was significantly reduced in the intervention compared to the control groups, with an estimated pooled cumulative incidence of developing HDP of 3% in the intervention groups (95% CI: 3 to 4) and of 5% in the control groups (95% CI: 5 to 6), and a pooled odds ratio (OR) comparing intervention to control of 0.54 (95% CI:0.40 to 0.72, p < 0.001). A combination of aerobic and anaerobic exercise, or yoga alone, had a greater beneficial effect compared to performing aerobic exercise only (mixed-OR = 0.50, 95% CI:0.33 to 0.75, p = 0.001; yoga-OR = 0.28, 95% CI:0.13 to 0.58, p = 0.001); aerobic exercise only-OR = 0.87, 95% CI:0.55 to 1.37, p = 0.539). Pregnancy is an opportunity for healthcare providers to promote positive health activities, thus optimizing the health of pregnant women with potential short- and long-term benefits for both mother and child. This systematic review and meta-analysis support a beneficial effect of either structured exercise (combination of aerobic, strength, and flexibility workouts) or yoga for preventing the onset of HDP. Yoga, considered a low-impact physical activity, could be more acceptable and safer for women in pregnancy in reducing the risk of developing HDP.