Gestational diabetes mellitus (GDM) is a growing public health problem worldwide that threatens both maternal and fetal health. Identifying individuals at high risk for GDM and diabetes after GDM is particularly useful for early intervention and prevention of disease progression. In the last decades, a number of studies have used metabolomics, genomics, and proteomic approaches to investigate associations between biomolecules and GDM progression. These studies clearly demonstrate that various biomarkers reflect pathological changes in GDM. The established markers have potential use as screening and diagnostic tools in GDM and in postpartum diabetes research. In the present review, we summarize recent studies of metabolites, single-nucleotide polymorphisms, microRNAs, and proteins associated with GDM and its transition to postpartum diabetes, with a focus on their predictive value in screening and diagnosis.