Background/Objectives: Gestational diabetes mellitus (GDM) represents one of the most common pregnancy-related disorders and it is correlated to increased risks of adverse maternal and neonatal outcomes. The prognostic role of initial glycemic values in predicting neonatal hypoglycemia and other complications remains underexplored. Methods: This retrospective study analyzed 233 women diagnosed with GDM between 2018 and 2024. Participants were stratified into three risk groups based on diagnostic oral glucose tolerance test (OGTT) values: low-risk group (fasting plasma glucose [FPG] 92–100 mg/dL, 1 h < 180 mg/dL, 2 h < 153 mg/dL), intermediate-risk group (FPG 101–110 mg/dL or 1 h 180–190 mg/dL or 2 h 153–163 mg/dL), and high-risk group (FPG > 110 mg/dL or 1 h > 190 mg/dL or 2 h > 163 mg/dL). Neonatal hypoglycemia was defined as the primary outcome, whereas secondary outcomes comprised insulin requirements, continuous glucose monitoring (CGM) use, macrosomia, polyhydramnios, and perinatal complications. Results: Non-significant differences across groups were observed except for Caucasian predominance in the high-risk group. Hypoglycemia trended higher in intermediate- and high-risk groups (26% and 21% vs. 17%), as well as polyhydramnios (14.3% and 13.8% vs. 4.5%) without statistical significance. Overall metabolic control was excellent, with almost 70% of patients maintaining HbA1c values ≤ 5.5% throughout the pregnancy with early and limited use of insulin therapy (17.3%). Conclusions: Diagnostic OGTT stratification provides limited prognostic value in optimized GDM care with early CGM and insulin use. Although trends for hypoglycemia and polyhydramnios suggest potential utility, the excellent metabolic control likely flattened the differences between groups. Prospective trials with CGM metrics are needed to develop more refined risk models, potentially enabling a more personalized management.