The incidence of gestational diabetes mellitus (GDM) is increasing worldwide. GDM can be responsible for an important proportion of adverse fetal and maternal outcomes during pregnancy, and it is associated with long-term health deterioration for both mother and child. Therefore, it is important to identify potentially modifiable risk factors for GDM. Accumulating evidence links vitamin D deficiency with abnormal glucose metabolism, and epidemiological studies have shown that women who develop GDM are more likely to be vitamin D deficient. This review discusses the prevalence, risk factors, and outcomes of GDM and vitamin D deficiency in pregnant women, outlines the possible mechanism of action of vitamin D in glucose homeostasis, and summarizes emerging evidence that associates vitamin D deficiency with the risk of developing GDM. This critical review of the literature indicates there is a need for intervention trials to test the possible beneficial effect of vitamin D supplementation in pregnant women with low vitamin D status to reduce the risk of developing GDM.