While exercise is always a healthy decision, when women and men do it consistently at an extreme level they chip away at their ability to conceive. The exception here appears to be women with PCOS who do benefit from vigorous exercise. Meantime, increased levels of moderate exercise are of real help, especially in women who are having trouble conceiving.
As for very vigorous exercise, in our minds the best study comes from Denmark and gauged a woman’s weekly level of exercise and the length of time it took her to conceive naturally. As you can see in just about every group (except women with a BMI of 25 or higher), each hour of vigorous weekly exercise correlates with a reduction in ability to conceive compared to women in that same age or weight bracket who do no vigorous exercise.
In a much smaller, but prospectively run study, PCOS patients who could not ovulate and had a BMI of 30 - 35 showed a dramatic improvement under an exercise regime (regular biking) that would have qualified in the above study as “vigorous.” Specifically, after 24 weeks this group showed dramatically higher rates of returning to ovulation and conceiving naturally than they did when they started the study (“baseline”) or a similar group of women that underwent a diet-only weight loss routine.
As far as moderate exercise (like walking) goes, it appears increased amounts coincided with a some improvement across women of varying ages, but proved especially helpful in women who had previously tried to conceive for at least three months.
As for BMI, data in Human Reproduction shows women with a BMI of 25 or higher, and a previous pregnancy loss, were much more likely to conceive after 6 successive cycles if they did moderate daily walking.