Previous studies in humans with type 1 diabetes mellitus (T1D) and in nonobese diabetic mice have investigated the beneficial immunomodulatory potential of aerobic physical activity. Performing high volume of aerobic exercise may favorably regulate autoimmunity in diabetes. We tested whether increased physical activity is a self-sufficient positive factor in T1D subjects. During a 3-month observational period, active (six males; 40.5 ± 6.1 years; BMI: 24.5 ± 2.1) and sedentary (four males, three females; 35.9 ± 8.9 years; BMI: 25.7 ± 3.8) T1D individuals on insulin pump therapy were studied for metabolic, inflammatory, and autoimmune parameters. At baseline and at the end of a 3-month period, glycosylated hemoglobin (HbA1c), autoantibodies (anti-GAD, anti-ZnT8, anti-IA2, and ICA) and proinflammatory cytokines (IL-6 and TNF-α) were evaluated. During the third month of the period, physically active T1D patients showed a significant reduction in the average glucose levels (-9%, p = 0.025, by CGM) compared to the first month values, and even their hyperglycemic episodes (>180 mg/dl) diminished significantly (-24.2%, p = 0.032 vs. first month). Moreover, active T1D subjects exhibited an improved body composition with respect to sedentary controls. No significant changes were detected as to the autoimmune and inflammatory profiles. This study confirms the beneficial role of physical exercise associated with insulin pump therapy in order to improve metabolic control in individuals with T1D. These preliminary positive observations need to be challenged in a prolonged interventional follow-up.