Data on changes in dietary intake and related blood parameters throughout pregnancy are scarce; moreover, few studies have examined their association with glucose homeostasis. Therefore, we monitored intake of folate, vitamin B6, vitamin B12, vitamin D and iron, their status markers, and diet quality from preconception to the second trimester of pregnancy, and we examined whether these dietary factors were associated with glucose homeostasis during pregnancy. We included 105 women aged 18–40 years with a desire to get pregnancy or who were already <24 weeks pregnant. Women at increased gestational diabetes (GDM) risk were oversampled. Measurements were scheduled at preconception (n = 67), and 12 (n =53) and 24 weeks of pregnancy (n =66), including a fasting venipuncture, 75-grams oral glucose tolerance test, and completion of a validated food frequency questionnaire. Changes in micronutrient intake and status, and associations between dietary factors and glucose homeostasis, were examined using adjusted repeated measures mixed models. Micronutrient intake of folate, vitamin B6 and vitamin D and related status markers significantly changed throughout pregnancy, which was predominantly due to changes in the intake of supplements. Micronutrient intake or status levels were not associated with glucose homeostasis, except for iron intake (FE µg/day) with fasting glucose (β = −0.069 mmol/L, p = 0.013) and HbA1c (β = −0.4843 mmol, p = 0.002). Diet quality was inversely associated with fasting glucose (β = −0.006 mmol/L for each DHD15-index point, p = 0.017). It was shown that micronutrient intakes and their status markers significantly changed during pregnancy. Only iron intake and diet quality were inversely associated with glucose homeostasis.