Today, pre-eclampsia (PE) is one of the leading causes of maternal and perinatal morbidity and mortality. It has been proposed that leisure time physical activity (LTPA) is associated with a decreased risk of PE. The objective of this study was to perform a systematic literature review examining the association between LTPA before and/or during pregnancy and the risk of PE. A systematic search of the EMBASE and PUBMED databases from inception to November 17, 2011 was conducted by two independent reviewers. Only studies describing the association between the intensity or amount of LTPA before and/or during pregnancy and the risk of PE were included. A narrative synthesis of the results was undertaken following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses guidelines. A quality assessment was performed using the Newcastle Ottawa Scale. Eleven studies were included. None of the studies found light- or moderate-intensity LTPA to be associated with PE. Three studies reported that vigorous-intensity LTPA before and/or during pregnancy may reduce the risk of PE. One study reported a reduced risk among women who participated in LTPA at least 25 times per month or more than 4 h per week. However, one study found an elevated risk of severe PE with high amounts of LTPA, defined as 4.5 h per week or more. Results are mixed, but high intensity LTPA before and/or during pregnancy or more than 4 h per week of LTPA may reduce the risk of PE. However, an urgent need remains for high-quality studies including different ethnicities to further explore this relationship.