Gestational diabetes mellitus (GDM) is a pregnancy complication that, according to the World Health Organization, is showing an increasing prevalence trend, mirroring the continuing upward trend of diabetes mellitus (DM) in the general population. The present study was based on the questions of the Depression, Anxiety, and Stress Scale DASS-21 and the World Health Organization Quality of Life Brief WHOQOL-BREF scales (translated into Greek). One hundred five pregnant women aged 21–44 participated in the study. The participants reported good mental health (low levels of stress, anxiety, and depression) with moderate levels of nervousness impacting them. Their social life was at a good level, they were satisfied with the environment they lived in, as well as their daily life; however, their physical health was at a moderate level. Also, the trimester of pregnancy appeared to play an important role in the onset of nervousness and depression in pregnant women with GDM as well as in their quality of life during pregnancy, with pregnant women in the first trimester reporting a lower quality of life than pregnant women in other trimesters. In contrast, women in the second gestational trimester reported the lowest depression rates. There was also an association between age and the prevalence of depression, with younger and older women experiencing depression at a higher frequency. Collectively, the psychological impact of GDM as well as its impact on the quality of life of pregnant women requires further investigation.