To assess the association of regular, unsupervised sports and exercise during pregnancy, by intensity level, with glycaemic control in women with gestational diabetes (GDM). Prospective cohort study of 971 women who, shortly after being diagnosed with GDM, completed a Pregnancy Physical Activity Questionnaire assessing moderate and vigorous intensity sports and exercise in the past 3 months. Self-monitored capillary glucose values were obtained for the 6-week period following the questionnaire, with optimal glycaemic control defined≥80% values meeting the targets<5.3mmol/L for fasting and <7.8mmol/L 1-hour after meals. Logistic regression estimated the odds of achieving optimal control; linear regression estimated activity level-specific least square mean glucose, as well as between-level mean glucose differences. For volume of moderate intensity sports and exercise ([MET×hours]/week), the highest quartile, compared to the lowest, had significantly increased odds of optimal control (OR=1.82 [95% CI: 1.06-3.14] P=0.03). There were significant trends for decreasing mean 1-hour post breakfast, lunch and dinner glycaemia with increasing quartile of moderate activity (all P<0.05). Any participation in vigorous intensity sports and exercise was associated with decreased mean 1-hour post breakfast and lunch glycaemia (both P<0.05). No associations were observed for fasting. Higher volumes of moderate intensity sports and exercise, reported shortly after GDM diagnosis, were significantly associated with increased odds of achieving glycaemic control. Clinicians should be aware that unsupervised moderate intensity sports and exercise performed in mid-pregnancy aids in subsequent glycaemic control among women with GDM.