In general, regular exercise decreases stress and helps maintain weight close to optimal values which is especially important when trying to get pregnant. Although weight loss and diet changes are recommended for overweight women before getting pregnant, that does not necessarily mean a restrictive diet and a heavy workout routine to get quick results. Those would not increase the chances for pregnancy, they would merely lead to skyrocketing levels of the stress hormone cortisol, fatigue and possibly even injury.
Too much or too intense exercise in normal weight/underweight women is also not a good idea. As well as the unnecessary stress for the body, heavy exercising could result in very low levels of body fat. Fat tissue is necessary for achieving pregnancy, because it is one of the sites of estrogen synthesis (family of female sex hormones). Low estrogen levels are related to irregular menstruation (oligomenorrhea) or the complete lack of menstruation (amenorrhea). Of course those are rare cases, which happen mostly to professional female athletes.
So, do not give up on sports, but be wise when practicing it!