The association between gestational diabetes mellitus (GDM) and breast cancer (BC) risk is complex. We aimed to examine this association in a systematic review of the literature. This review was done using the PubMed/Medline and Web of Science databases, in accordance with the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines. The Newcastle–Ottawa Scale was used for the assessment of bias and quality of studies. Only English-language articles published before 1 June 2021, were included. Fourteen studies were included in this systematic review. Among them, eight did not find statistically significant results. Three studies showed a statistically significant increased risk of BC after GDM, and they explained this potential increased risk by hyperinsulinemia, hyperglycemia, and low-grade inflammation. However, three studies showed a statistically significant decreased risk of BC after GDM, suggesting a possible protective effect of hormonal changes induced by GDM during pregnancy. These controversial results should be interpreted with caution due to both quantitative and qualitative methodological shortcomings. Further investigations are thus needed in order to gain a better understanding of the associations between GDM and BC, and their underlying mechanisms.