Pyrethroids, a class of extensively used insecticides, may pose health risks to humans. Whether pyrethroid exposure contributes to the development of gestational diabetes mellitus (GDM) in pregnant women remains unknown. The potential association of urinary concentrations of pyrethroid metabolites [3-phenoxybenzoic acid (3-PBA) and 4-fluoro-3-phenoxybenzoic acid] with the risk of GDM was assessed using a nested case-control study of 220 GDM cases and 440 controls from a prospective cohort. The mediation roles of oxidative stress biomarkers [advanced glycation end products (AGEs) and malondialdehyde (MDA)] in the associations were investigated. Urinary concentrations of 3-PBA in these cases were significantly higher than those of the controls. Urinary 3-PBA was positively associated with the risk of GDM. The adjusted odds of GDM significantly increased by 32% in each unit increment of the ln-transformed concentration of urinary 3-PBA. The significant dose−response relationships of GDM with serum AGEs (P trend = 0.03) and MDA (P trend < 0.001) were observed. However, there were no significant correlations between 3-PBA and AGEs or MDA, nor was there a significant mediation effect of AGEs or MDA on the association of 3-PBA with GDM. We provide the first evidence that early gestational exposure to pyrethroids is an environmental risk factor for GDM.