The prevalence of gestational diabetes mellitus (GDM) is increasing worldwide. This disease has many detrimental consequences for the woman, the unborn foetus and child. The management of GDM aims to mediate the effects of hyperglycaemia by controlling blood glucose levels. Along with pharmacology and dietary interventions, exercise has a powerful potential to assist with blood glucose control. Due to the uncertainty of risks and benefits of exercise during pregnancy, women tend to avoid exercise. However, under adequate supervision exercise is both safe and beneficial in the treatment of GDM. Therefore it is vital that exercise is incorporated into the continuum of care for women with GDM. Medical doctors should be able to refer to competently informed exercise professionals to aid in GDM treatment. It is important that exercise treatment is informed by research. Hence, the development of evidence-based guidelines is important to inform practice. Currently there are no guidelines for exercise in GDM. This review aims to assess the efficacy of exercise for the management of GDM in order to establish an exercise prescription guideline specific to the condition. It is recommended that women with GDM should do both aerobic and resistance exercise at a moderate intensity, a minimum of three times a week for 30-60 min each time.