Researchers at the University of Southern Denmark quizzed more than 90,000 women on their exercise regime, and linked their answers to the outcome of their pregnancies.
After collecting the data about the participants, the researchers compared women who did not take any exercise at all with those who exercised more than seven hours a week or played "high-impact" sports, such as ball games and racket sports.
It was found that women who played "high-impact" sports or who exercised for more than seven hours a week were approximately three-and-a-half times more likely to miscarry.
The researchers also found that miscarriage was far rarer later in pregnancy, and that the association between exercise and miscarriage disappeared after the 18-week mark.
"The results of this study suggest that leisure time exercise during pregnancy, and particularly high-impact exercise, is associated with an increased risk of miscarriage in the early stage of pregnancy," the BBC quoted the authors of the study as writing in the British Journal of Obstetrics and Gynaecology.
However, the study has also shown that swimming, which is one of the most popular exercises among pregnant women, does not increase the risk of miscarriage.
Jogging is also one exercise which some researcher feel should not be taken to be risky. Alison Merry, a former midwife who runs a firm called Blooming Fit, which designs exercise programmes for pregnant women, said that she was comfortable with the idea of pregnant women continuing to jog or run during early pregnancy.
She, however, said that she would not normally recommend any sport which involved the risk of an impact to the abdomen of a pregnant woman.
"The benefits of exercising during pregnancy are clear - it improves the cardiovascular system, and maintains muscle tone. While I would say that getting a hockey ball in the stomach is not a good idea, I can't think of any reason why jogging would be harmful," she said.