The aim of the present study was to analyze the influence of a supervised concurrent exercise-training program, from the 17th gestational week until delivery, on cytokines in maternal (at 17th and 35th gestational week, and at delivery) and arterial and venous cord serum. Fifty-eight Caucasian pregnant women (age: 33.5 ± 4.7 years old, body mass index: 23.6 ± 4.1kg/m2) from the GESTAFIT Project (exercise (n = 37) and control (n = 21) groups) participated in this quasi-experimental study (per-protocol basis). The exercise group followed a 60-min 3 days/week concurrent (aerobic-resistance) exercise-training from the 17th gestational week to delivery. Maternal and arterial and venous cord serum cytokines (fractalkine, interleukin (IL)–1β, IL-6, IL-8, IL-10, interferon (IFN)–γ, and tumor necrosis factor (TNF)–α) were assessed using Luminex xMAP technology. In maternal serum (after adjusting for the baseline values of cytokines), the exercise group decreased TNF-α (from baseline to 35th week, p = 0.02), and increased less IL-1β (from baseline to delivery, p = 0.03) concentrations than controls. When adjusting for other potential confounders, these differences became non-significant. In cord blood, the exercise group showed reduced arterial IL-6 and venous TNF-α (p = 0.03 and p = 0.001, respectively) and higher concentrations of arterial IL-1β (p = 0.03) compared to controls. The application of concurrent exercise-training programs could be a strategy to modulate immune responses in pregnant women and their fetuses. However, future research is needed to better understand the origin and clearance of these cytokines, their role in the maternal-placental-fetus crosstalk, and the influence of exercise interventions on them.