PURPOSE: Anxiety is a common mental health issue during pregnancy. Moreover, women with gestational diabetes mellitus (GDM) seem to have to cope with higher levels of anxiety, being at higher risk for several health and mental complications. Women with GDM are recommended to undertake regular physical exercise to improve metabolic and reproductive outcomes. However, there are no specific guidelines for exercise in women with GDM and data on its relationship with mental health are scarce. The aim of this study was to investigate the effect of exercise on anxiety symptoms in pregnant women with GDM. METHODS: The present non-randomized, open-label clinical trial was a pilot study intended to provide initial data on the effect of exercise on anxiety symptoms of pregnant women with GDM. Forty-three women were assigned to three the following three study groups, (a) Advice Group (n = 17), Walking Group (n = 14), and Mixed Exercise Group (n = 12), from GDM diagnosis to delivery. RESULTS: Based on the Beck Anxiety Inventory (BAI) scores, all groups showed normal anxiety changes or mild anxiety levels pre- and post-intervention, ranging between 9.00 (1.00-32.00) (pre-intervention) and 7.5 (1.00-26.00) (post-intervention), but none experienced severe anxiety. CONCLUSION: In the present study, a trend of self-selected pace walking to reduce the BAI scores was identified since the Walking Groups had lower scores after the intervention. However, this trend did not reach statistical significance. Brisk walking (30-45 min) three times per week may produce positive changes in both the treatment plan and the anxiety state of women with GDM. Moreover, the study confirms that routine medical care, counseling, and support by an interdisciplinary team are protective against anxiety in women with GDM.