Physical activity has been inconsistently associated with risk of gestational diabetes mellitus in epidemiological studies, and questions remain about the strength and shape of the dose-response relationship between the two. We therefore conducted a systematic review and meta-analysis of cohort studies and randomized trials on physical activity and gestational diabetes mellitus. PubMed, Embase and Ovid databases were searched for cohort studies, and randomized controlled trials of physical activity and risk of gestational diabetes mellitus, up to August 5th 2015. Summary relative risks (RRs) were estimated using a random effects model. Twenty-five studies (26 publications) were included. For total physical activity the summary RR for high versus low activity was 0.62 (95 % CI 0.41-0.94, I(2) = 0 %, n = 4) before pregnancy, and 0.66 (95 % CI 0.36-1.21, I(2) = 0 %, n = 3) during pregnancy. For leisure-time physical activity the respective summary RRs for high versus low activity was 0.78 (95 % CI 0.61-1.00, I(2) = 47 %, n = 8) before pregnancy, and it was 0.80 (95 % CI 0.64-1.00, I(2) = 17 %, n = 17) during pregnancy. The summary RR for pre-pregnancy activity was 0.70 (95 % CI 0.49-1.01, I(2) = 72.6 %, n = 3) per increment of 5 h/week and for activity during pregnancy was 0.98 (95 % CI 0.87-1.09, I(2) = 0 %, n = 3) per 5 h/week. There was evidence of a nonlinear association between physical activity before pregnancy and the risk of gestational diabetes mellitus, pnonlinearity = 0.005, with a slightly steeper association at lower levels of activity although further reductions in risk were observed up to 10 h/week. There was also evidence of nonlinearity for physical activity in early pregnancy, pnonlinearity = 0.008, with no further reduction in risk above 8 h/week. There was some indication of inverse associations between walking (before and during pregnancy) and vigorous activity (before pregnancy) and the risk of gestational diabetes mellitus. This meta-analysis suggests that there is a significant inverse association between physical activity before pregnancy and in early pregnancy and the risk of gestational diabetes mellitus. Further studies are needed to clarify the association between specific types and intensities of activity and gestational diabetes mellitus.