Single nucleotide polymorphisms (SNPs) in the ADRB2, ADRB3, TNF, IL6, IGF1R, LIPC, LEPR, and GHRL genes were associated with the conversion from impaired glucose tolerance (IGT) to type 2 diabetes mellitus (T2D) in the Finnish Diabetes Prevention Study (DPS). In this study, we determined whether polymorphisms in these genes modified the effect of changes in physical activity (PA) on the risk of T2D in the DPS. Moreover, we assessed whether the polymorphisms modified the effect of changes in PA on changes in measures of body fat, serum lipids, and blood pressure during the first year of the follow-up of the DPS. Overweight subjects with IGT (n = 487) were followed for an average of 4.1 years, and PA was assessed annually with a questionnaire. The interactions of the polymorphisms with changes in total and moderate-to-vigorous PA on the conversion to T2D during the 4.1-year follow-up were assessed using Cox regression with adjustments for the other components of the intervention (dietary changes, weight reduction). Univariate analysis of variance was used to assess interactions on changes in continuous variables during the first year of the follow-up. No interaction between the polymorphisms and PA on the conversion to T2D was found. The Leu72Met (rs696217) polymorphism in GHRL modified the effect of moderate-to-vigorous PA on changes in weight and waist circumference, the -501A/C (rs26802) polymorphism in GHRL modified the effect of total and moderate-to-vigorous PA on change in high-density lipoprotein cholesterol, and the Lys109Arg (rs1137100) polymorphism in LEPR modified the effect of total PA on change in blood pressure. In conclusion, genetic variation may modify the magnitude of the beneficial effects of PA on characteristics of the metabolic syndrome in persons with IGT.