The purpose of this review was to critically evaluate the scientific literature for the effects of exercise on pregnancy outcome. Evidenced-based studies were reviewed. Maternal outcomes analyzed in this review were gestational diabetes mellitus, preeclampsia, and weight gain, fetal outcomes evaluated were birth weight, time of delivery, and mode of delivery. Despite methodological pitfalls in the studies published, the evidence suggests a benefit of exercise in pregnancy. Exercise in pregnancy could prevent and limit adverse maternal and fetal morbidities and provide a long-term benefit through reduction of maternal weight gain during pregnancy, and improvement in cardiovascular fitness. Pregnancy emerges as a unique time for behavior modification.