SummaryBackground/aimExercise can be used as a strategy to attenuate hyperglycaemia experienced during gestational diabetes mellitus (GDM). To maximize its use for clinical management, the most effective modality should be identified. The purpose of this review is to elucidate the most effective modality of exercise on insulin sensitivity and blood glucose control in pregnant women with or at risk of GDM.MethodsA search was undertaken in MEDLINE, PubMed, Scopus, CINAHL, the Cochrane Library, Embase and the Maternity & Infant Healthcare Database. Studies that met inclusion criteria were randomized controlled trials and case‐controlled studies, which compared exercise interventions with standard care during pregnancy in women with or at risk of GDM.ResultsTwo interventions using resistance training, eight using aerobic exercise and two using a combination of both modalities were included. The interventions showed consistently that requirements of insulin therapy, dosage, and latency to administration were improved in the exercise groups. Less consistent results were observed for capillary blood glucose measurements; however, both modalities and combination of modalities were effective at improving blood glucose control in already diagnosed patients and pregnant women with obesity. Discrepancies in the timing of intervention, GDM diagnostic criteria, and the different measures used to assess glucose metabolism make it difficult to draw clear recommendations.ConclusionExercising three times per week for 40–60 min at 65–75% age‐predicted heart rate maximum using cycling, walking or circuit training as a modality improved glycaemic control in GDM patients and reduced incidence of GDM in pregnant women with obesity. Further studies looking specifically at the effects of different modalities of exercise on glucose metabolism with combined strategies to enhance insulin sensitivity should be explored to maximize benefits for GDM pregnancies. Consistency in design and delivery of exercise‐only interventions is required to make recommendations on a suitable exercise prescription in this population. In practice, adherence to consensus in diagnostic cut‐offs for GDM diagnosis is fundamental for standardizing future research.