Pre-gravid physical activity has been associated with a reduced risk of gestational diabetes mellitus (GDM), although neither the types of exercise nor the physiologic mechanisms underlying this protective effect have been well-studied. Thus, we sought to study the relationships between types of pre-gravid physical activity and metabolic parameters in pregnancy, including glucose tolerance, insulin sensitivity and beta-cell function. A total of 851 women underwent a glucose challenge test (GCT) and a 3-h oral glucose tolerance test (OGTT) in late pregnancy, yielding four glucose tolerance groups: (i) GDM; (ii) gestational impaired glucose tolerance (GIGT); (iii) abnormal GCT with normal glucose tolerance on OGTT (abnormal GCT NGT); and (iv) normal GCT with NGT on OGTT (normal GCT NGT). Pre-gravid physical activity was assessed using the Baecke questionnaire, which measures (i) total physical activity and (ii) its three component domains: work, nonsport leisure-time, and vigorous/sports activity. Glucose tolerance status improved across increasing quartiles of pre-gravid total physical activity (P = 0.0244). Whereas neither work nor nonsport leisure-time activity differed between glucose tolerance groups, pre-gravid vigorous/sports activity was significantly higher in women with normal GCT NGT compared to women with (i) abnormal GCT NGT (P = 0.0018) (ii) GIGT (P = 0.0025), and (iii) GDM (P = 0.0044). In particular, vigorous/sports activity correlated with insulin sensitivity (measured by IS(OGTT)) (r = 0.21, P < 0.0001). Furthermore, on multiple linear regression analysis, pre-gravid vigorous/sports activity emerged as a significant independent predictor of IS(OGTT) in pregnancy (t = 4.97, P < 0.0001). Pre-gravid vigorous/sports activity is associated with a reduced risk of glucose intolerance in pregnancy, an effect likely mediated by enhanced insulin sensitivity.