Gestational diabetes mellitus (GDM) refers to diabetes diagnosed in the second or third trimester of pregnancy that is not clearly either type 1 or type 2 diabetes. GDM is a common medical complication in pregnancy that has been rapidly increasing worldwide. GDM is associated with both short- and long-term health issues for both mothers and offspring. Consistent with type 2 diabetes, peripheral insulin resistance contributes to the hyperglycemia associated with GDM. Accordingly, it is important to identify strategies to reduce the insulin resistance associated with GDM. To date, observational studies have shown that exercise can be a non-invasive therapeutic option for preventing and managing GDM that can be readily applied to the antenatal population. However, the relevant mechanisms for these outcomes are yet to be fully elucidated. The present review aimed to explain the potential mechanisms of exercise from the perspective of reducing the insulin resistance, which is the root cause of GDM. Exercise recommendations and opinions of exercise during pregnancy are briefly summarized.