Diabetes disrupts one in six pregnancies, bestowing immediate and long-term health risks to mother and child. Diet and exercise are commonly prescribed to control dysglycemia, but their effectiveness across sub-populations and types of diabetes (type-1; type-2; or gestational diabetes mellitus, GDM) is uncertain. Therefore, a systematic review and meta-analysis on the effect of diet and/or exercise on glycemia in pregnant women with diabetes was conducted. Random effects models were used to evaluate effect sizes across studies and anticipated confounders (e.g., age, ethnicity, BMI). Of the 4845 records retrieved, 26 studies (8 nutritional supplements, 12 dietary, and 6 exercise interventions) were included. All studies were conducted in patients with GDM. Overall, supplement- and exercise-based interventions reduced fasting glucose (−0.30 mmol/L; 95% CI = −0.55, −0.06; p = 0.02; and 0.10 mmol/L; 95% CI = −0.20, −0.01; p = 0.04); and supplement- and diet-based interventions reduced HOMA-IR (−0.40; 95% CI = −0.58, −0.22; p < 0.001; and −1.15; 95% CI = −2.12, −0.17; p = 0.02). Subgroup analysis by confounders only confirmed marginal changed effect sizes. Our results suggest a favorable role of certain nutritional supplements, diet, and exercise practices on glycemia in women with GDM and underline a lack of evidence in ~20% of other diabetes-related pregnancies (i.e., women with pre-existing diabetes).