The aim of this study was to evaluate the Diet Quality Index (DQI) and the Physical Activity (PA) levels associated with adequacy of gestational weight gain in pregnant women with gestational diabetes mellitus (GDM). A total of 172 pregnant women with a single fetus and a diagnosis of GDM participated. Food intake was self-reported on the food frequency questionnaire and DQI was quantified using the index validated and revised for Brazil (DQI-R). To assess PA, the Pregnancy Physical Activity Questionnaire was administered. Gestational weight gain was classified, following the criteria of the Institute of Medicine, into adequate (AWG), insufficient (IWG), or excessive (EWG) weight gain. A multinomial logistic regression analysis was performed, with level of significance <0.05. The participants were divided into 3 groups: AWG (33.1%), IWG (27.3%), and EWG (39.5%). The analysis indicated that if the pregnant women PA fell into tertile 1 or 2, then they had a greater chance of having IWG, whereas those with the lowest scores on the DQI-R, whose PA fell into tertile 2, and pregestational obesity women had the greatest chance of having EWG. This study has shown that low PA levels may contribute towards IWG. On the other hand, a low final DQI-R score, representing inadequate food habits, low PA levels, and pregestational obesity may increase the chance of EWG in patients with GDM.