Gestational Diabetes Mellitus (GDM) is defined as any degree of glucose intolerance with onset or first recognition during pregnancy. Regular exercise is important for a healthy pregnancy and can lower the risk of developing GDM. For women with GDM, exercise is safe and can affect the pregnancy outcomes beneficially. A single exercise bout increases skeletal muscle glucose uptake, minimizing hyperglycemia. Regular exercise training promotes mitochondrial biogenesis, improves oxidative capacity, enhances insulin sensitivity and vascular function, and reduces systemic inflammation. Exercise may also aid in lowering the insulin dose in insulin-treated pregnant women. Despite these benefits, women with GDM are usually inactive or have poor participation in exercise training. Attractive individualized exercise programs that will increase adherence and result in optimal maternal and offspring benefits are needed. However, as women with GDM have a unique physiology, more attention is required during exercise prescription. This review (i) summarizes the cardiovascular and metabolic adaptations due to pregnancy and outlines the mechanisms through which exercise can improve glycemic control and overall health in insulin resistance states, (ii) presents the pathophysiological alterations induced by GDM that affect exercise responses, and (iii) highlights cardinal points of an exercise program for women with GDM.