This study aimed to evaluate the effects of exercise on weight gain and perinatal outcomes among overweight and obese pregnant women, through a systematic review in MEDLINE/PubMed, EMBASE, LILACS, and SciELO. We included ten clinical trials that evaluated the effectiveness of exercise with or without combined diet in the control of gestational weight gain. Three studies were randomized, and methodological quality was assessed using the CONSORT 2010 Checklist, but none met all the criteria. Four studies showed weight gain differences between groups. The majority (60%) of studies showed no differences in perinatal outcomes (mode of delivery, gestational age at birth, birth weight). In conclusion, few studies confirmed the positive effect of exercise in controlling weight gain during pregnancy, thus requiring more research in this direction. Regarding perinatal outcomes, mild to moderate exercise does not appear to be decisive for perinatal outcomes, and is safe for pregnant women with overweight and obesity.