The relationship between diabetes-related distress and depression has been predominantly explored in patients with type 1 (T1DM) and type 2 diabetes mellitus (T2DM), while limited evidence in women with Gestational Diabetes Mellitus (GDM) is available. We conducted a single-center observational study on women with GDM to assess the prevalence of diabetes-related distress [using the Diabetes Distress Scale (DDS)] and depression [using the Patient Health Questionnaire-9 (PHQ-9)] at the time of diagnosis. We recruited a sample of 38 women (mean age: 35.3±4.49 years, mean BMI: 25.39±5.48 kg/m2, mean gestational age at diagnosis: 23.97±4.72 weeks), 50% of them reached a good glycaemic control with nutritional therapy, 50% received insulin therapy (15.39% received basal insulin, 1.3% prandial insulin, 3.8% basal-bolus therapy). In our cohort, 13.6% had a DDS score>3, indicative of clinically relevant distress. Most women reported emotional distress (22.7%) and interpersonal relationship distress (22.7%), while 13.6% reported distress related to diabetes management and distress related to the doctor-patient relationship. Assessment of depressive symptoms using the PHQ-9 revealed a mean score of 6.31, with 18.2% having major depression (PHQ-9>10), 52.3% having subclinical depression (PHQ-9 5-10), and 29.5% having no depressive symptoms (PHQ-9<5). Diabetes-related distress was significantly correlated with depression (r=0.653, p<0.01). Women with clinically relevant DDS also showed significantly higher PHQ-9 scores [14.8 (SD 4.86) vs 5.03 (SD 3.28), p<0.01], and more frequently had PHQ-9>10 (major depression) (62.5% vs 37.5%, p<0.01) and PHQ-9 >5 (subclinical depression) (22% vs 77%, p=0.047). Women receiving insulin therapy had significantly higher DDS and PHQ-9 scores (40.39 vs 27.47, p=0.022; 7.85 vs 4.79, p=0.04, respectively). None of the anthropometric, anamnestic, or glycemic parameters significantly impacted psychological distress. The study highlighted a significant association between diabetes-related distress and depression in women with GDM, particularly those receiving insulin therapy, underlying the importance of assessing and managing the mental health of women during pregnancy.