Gestational diabetes mellitus (GDM) is a prevalent metabolic disorder associated with adverse maternal and fetal outcomes. However, current diagnostic strategies have a limited capacity to identify women at risk early in pregnancy. In this longitudinal prospective pilot study, 200 pregnant Mexican women were recruited at 11–14 weeks and underwent follow-up throughout pregnancy. Of these, 34 women (19 with GDM and 15 with normal glucose tolerance [NGT]) completed follow-up and were included in the final analyses. Most withdrawals were due to logistical constraints, although the reduced final sample size should be considered when interpreting generalizability. Nine serum proteins (ADIPOQ, AFM, FABP4, IGFBP-5, PAPP-A, PAPP-A2, RBP4, RETN, SHBG) were measured simultaneously using an antibody array and subsequently validated by ELISA. FABP4 showed the greatest increase in the first trimester (4.9-fold, p = 0.0105) and the highest apparent discriminative performance (AUC = 0.91), which declined in the second and third trimesters. Exploratory, hypothesis-generating multivariable analyses suggested a stronger association when FABP4 was combined with gravidity and serum triglycerides (AUC up to 0.97). Overall, FABP4 emerged as a promising candidate biomarker for early GDM detection in Mexican women; however, these findings are preliminary and require validation in larger, independent cohorts to support early risk stratification.