Most national guidelines recommend moderate exercise during pregnancy, but this is not followed by the majority of pregnant women. Fear of exercise risks is among reported barriers. In contrast to most reviews focusing on late pregnancy risks, this review evaluates the association between exercise in the first trimester and the risk of miscarriage. A systematic review based on the EMBASE and PUBMED databases was conducted and 5 studies assessing the association between early pregnancy exercise and miscarriage were identified. Diverging findings were reported making no clear conclusion possible. New studies with participants included in the prepregnancy period are needed.