Gestational diabetes mellitus (GDM) is defined as glucose intolerance first diagnosed during pregnancy. This condition shares same array of underlying abnormalities as occurs in diabetes outside of pregnancy, for example, genetic and environmental causes. However, the role of a sedentary lifestyle and/or excess energy intake is more prominent in GDM. Physically active women are less likely to develop GDM and other pregnancy-related diseases. Weight gain in pregnancy causes increased release of adipokines from adipose tissue; many adipokines increase oxidative stress and insulin resistance. Increased intramyocellular lipids also increase cellular oxidative stress with subsequent generation of reactive oxygen species. A well-planned program of exercise is an important component of a healthy lifestyle and, in spite of old myths, is also recommended during pregnancy. This paper briefly reviews the role of adipokines in gestational diabetes and attempts to shed some light on the mechanisms by which exercise can be beneficial as an adjuvant therapy in GDM. In this regard, we discuss the mechanisms by which exercise increases insulin sensitivity, changes adipokine profile levels, and boosts antioxidant mechanisms.