We examined the association between exercise during pregnancy and meeting gestational weight gain recommendations. Data came from the 2009 South Carolina Pregnancy Risk Assessment Monitoring System (n = 856). Women reported their participation in exercise/sports activities before and during pregnancy, including the number of months and types of exercise. We developed an exercise index (EI), the product of the number of months spent in exercise and average metabolic equivalents for specific exercise. The 2009 Institute of Medicine's guideline was used to categorize gestational weight gain into three classes: inadequate, adequate, and excessive. Multinomial logistic regression models were used to adjust for confounders. Over 46 % of women exceeded the recommended weight gain during pregnancy. Nearly one third (31.9 %) of women reported exercising ≥3 times a week at any time during pregnancy. Compared to women who did not report this level of exercise during pregnancy, exercising women were more likely to meet gestational weight gain recommendations (32.7 vs. 18.7 %) and had a lower odds of excessive gestational weight gain [adjusted odds ratio (AOR) 0.43, 95 % confidence interval 0.24-0.78]. Women with an EI above the median value of those women who exercised or women who exercised ≥3 times a week for 6-9 months during pregnancy had lower odds of excessive gestational weight gain (AOR for EI 0.20, 0.08-0.49; AOR for months 0.26, 0.12-0.56, respectively). Our findings support the need to promote or increase exercise during pregnancy to reduce the high proportion of women who are gaining excessive weight.