OBJECTIVE Previously, we reported the positive association of moderate-to-vigorous physical activity (MVPA) with insulin sensitivity in overweight and obese pregnant women. We sought to assess whether these MVPA-induced changes in insulin sensitivity are mediated by changes in interleukin (IL)-6, IL-10, tumor necrosis factor (TNF)-α, and IL-1β. RESEARCH DESIGN AND METHODS A prospective longitudinal study was conducted in 46 overweight and obese women at risk for gestational diabetes mellitus. Objective physical activity measurements and fasting blood samples were taken at 15, 24, and 32 weeks of pregnancy. At 24 and 32 weeks, a 100-g oral glucose test was performed in addition. Cytokines, C-reactive protein, and glucose and insulin levels were measured, and insulin sensitivity and first-phase insulin response were calculated. Relationships between the different parameters were assessed using linear regression models, adjusting for maternal age and BMI. RESULTS All cytokines were elevated in women with higher levels of MVPA at 15 weeks of gestation. Higher IL-6 was related to a lower first-phase insulin response (β -810.5 [95% CI -1,524.5 to -96.5]; P = 0.03). TNF-α and IL-1β had different effects in women with low MVPA (with low IL-6 levels) compared with more active women. CRP was not related to MVPA. CONCLUSIONS The association of MVPA with insulin sensitivity and first-phase insulin response may be (partly) mediated by IL-6, since this cytokine was related to reduced first-phase insulin response. The possible positive effects of the elevated cytokine profile in active obese pregnant women warrant further study.