Regular physical activity during pregnancy has a positive effect on the mother and fetus. However, there is scarce data regarding the effect of exercise in pregnancies complicated by gestational diabetes mellitus (GDM). The aim of the present parallel, non-randomized, open-label, pilot, clinical study was to examine the effect of two exercise programs on the resting metabolic rate (RMR) and substrate utilization in pregnancies complicated by GDM, compared with usual care (advice for the performance of exercise). Forty-three pregnant women diagnosed with GDM between the 24th and 28th gestational week, volunteered to participate. Three groups were formed: Usual care (n = 17), Walking (n = 14), and Mixed Exercise (n = 12). The Usual care group was given advice on maintaining habitual daily activities without any additional exercise. The Walking group exercised regularly by walking, in addition to the habitual daily activities. Finally, the Mixed Exercise group participated in a program combining aerobics and strength exercises. Training intensity was monitored continuously using lightweight, wearable monitoring devices. The Walking and Mixed Exercise groups participated in the training programs after being diagnosed with GDM and maintained them until the last week of gestation. RMR and substrate utilization were analyzed using indirect calorimetry for all participants twice: between 27th and 28th gestational week and as close as possible before delivery. No differences were observed between groups regarding body composition, age, and medical or obstetrical parameters before or after the exercise programs. RMR was increased after the completion of the exercise interventions in both the Walking (p = 0.001) and the Mixed Exercise arms (p = 0.002). In contrast, substrate utilization remained indifferent. In conclusion, regular exercise of moderate intensity (either walking, or a combination of aerobic and strength training) increases RMR in women with GDM compared to the lack of systematic exercise. However, based on the present, pilot data, these exercise regimes do not appear to alter resting substrate utilization.