Obstructive sleep apnea (OSA) usually leads to the occurrence of diabetes. Gestational diabetes mellitus (GDM) is a common gestational complication associated with adverse maternal and fetal outcomes. Increasing studies suggest that women with OSA during pregnancy may be at a significantly greater risk of developing GDM. It is crucial to explore the association between OSA and GDM and the mechanisms underlying this association. In this review, we presented a comprehensive literature review of the following: the association between OSA and GDM, the possible mechanisms of this association, and the effects of continuous positive airway pressure (CPAP) on OSA with GDM. The results showed that most authors suggested that there was an association between OSA and GDM. The intermittent hypoxemia (IH) and reduction of slow-wave sleep (SWS) may be the key to this association. IH induces the products of oxidative stress and inflammation as well as dysregulation of the hypothalamic-pituitary-adrenal, which lead to diabetes. In addition, SWS reduction in OSA enhances the inflammation by increasing the inflammatory cytokines, increases the sympathetic activation, and causes changes in leptin level, which result in the development of GDM. Additionally, whether CPAP is beneficial to GDM remains still unclear.