HLA‐B*39:06, HLA‐B*39:01, and HLA‐B*38:01 are closely related HLA allotypes differentially associated with type 1 diabetes (T1D) risk and progression. B*39:06 is highly predisposing, while B*39:01 and B*38:01 are weakly predisposing and protective allotypes, respectively. Here, we aimed to decipher molecular mechanisms underlying the differential association of these allotypes with T1D pathogenesis. We addressed peptide binding and conformational stability of HLA‐B allotypes using computational and experimental approaches. Computationally, we found that B*39:06 and B*39:01 allotypes had more rigid peptide‐binding grooves and were more promiscuous in binding peptides than B*38:01. Peptidomes of B*39:06 and B*39:01 contained fewer strong binders and were of lower affinity than that of B*38:01. Experimentally, we demonstrated that B*39:06 and B*39:01 had a higher capacity to bind peptides and exit to the cell surface but lower surface levels and were degraded faster than B*38:01. In summary, we propose that promiscuous B*39:06 and B*39:01 may bind suboptimal peptides and transport them the cell surface, where such unstable complexes may contribute to the pathogenesis of T1D.