As gestational diabetes mellitus (GDM) is both a frequent and serious complication, steroid levels in pregnancy are extremely elevated and their role in pregnancy is crucial, this review focuses on the role of steroids and related substances in the GDM pathophysiology. Low SHBG levels are associated with insulin resistance and hyperinsulinemia, while also predicting a predisposition to GDM. Other relevant agents are placental hormones such as kisspeptin and CRH, playing also an important role beyond pregnancy, but which are synthesized here in smaller amounts in the hypothalamus. These hormones affect both the course of pregnancy as well as the synthesis of pregnancy steroids and may also be involved in the GDM pathophysiology. Steroids, whose biosynthesis is mainly provided by the fetal adrenal glands, placenta, maternal adrenal glands, and both maternal and fetal livers, are also synthesized in limited amounts directly in the pancreas and may influence the development of GDM. These substances involve the sulfated Δ5 steroids primarily acting via modulating different ion channels and influencing the development of GDM in different directions, mostly diabetogenic progesterone and predominantly anti-diabetic estradiol acting both in genomic and non-genomic way, androgens associated with IR and hyperinsulinemia, neuroactive steroids affecting the pituitary functioning, and cortisol whose production is stimulated by CRH but which suppresses its pro-inflammatory effects. Due to the complex actions of steroids, studies assessing their predominant effect and studies assessing their predictive values for estimating predisposition to GDM are needed.