Data from Continuous Glucose Monitoring (CGM) systems may help improve overall daily glycemia; however, the accuracy of CGM during exercise remains questionable. The objective of this single group experimental study was to compare CGM-estimated values to venous plasma glucose (VPG) and capillary plasma glucose (CPG) during steady-state exercise. Twelve recreationally active females without diabetes (aged 21.8 ± 2.4 years), from Central Washington University completed the study. CGM is used by individuals with diabetes, however the purpose of this study was to first validate the use of this device during exercise for anyone. Data were collected between November 2009 and April 2010. Participants performed two identical 45-min steady-state cycling trials (~60% Pmax) on non-consecutive days. Glucose concentrations (CGM-estimated, VPG, and CPG values) were measured every 5 min. Two carbohydrate gel supplements along with 360 mL of water were consumed 15 min into exercise. A product-moment correlation was used to assess the relationship and a Bland-Altman analysis determined error between the three glucose measurement methods. It was found that the CGM system overestimated mean VPG (mean absolute difference 17.4 mg/dL (0.97 mmol/L)) and mean CPG (mean absolute difference 15.5 mg/dL (0.86 mmol/L)). Bland-Altman analysis displayed wide limits of agreement (95% confidence interval) of 44.3 mg/dL (2.46 mmol/L) (VPG compared with CGM) and 41.2 mg/dL (2.29 mmol/L) (CPG compared with CGM). Results from the current study support that data from CGM did not meet accuracy standards from the 15197 International Organization for Standardization (ISO).