Gestational diabetes mellitus (GDM) is the most common complication of pregnancy and a significant clinical and public health problem with lifelong and intergenerational adverse health consequences for mothers and their offspring. The preconception, early pregnancy, and interconception periods represent opportune windows to engage women in preventive and health promotion interventions. This review provides an overview of findings from observational and intervention studies on the role of diet, physical activity, and weight (change) during these periods in the primary prevention of GDM. Current evidence suggests that supporting women to increase physical activity and achieve appropriate weight gain during early pregnancy and enabling women to optimize their weight and health behaviors prior to and between pregnancies have the potential to reduce rates of GDM. Translation of current evidence into practice requires further development and evaluation of co-designed interventions across community, health service, and policy levels to determine how women can be reached and supported to optimize their health behaviors before, during, and between pregnancies to reduce GDM risk.