Our purpose is to study the evolution of mitochondrially derived peptides (MDPs) and their relationship with changes in insulin sensitivity from the early stages of pregnancy in a cohort of pregnant women with and without gestational diabetes (GDM). MDPs (humanin and MOTSc) were assessed in the first and second trimesters of gestation in 28 pregnant women with gestational diabetes mellitus (GDM) and a subgroup of 45 pregnant women without GDM matched by BMI, age, previous gestations, and time of sampling. Insulin resistance (IR) was defined as a HOMA-IR index ≥70th percentile. We observed a significant reduction in both humanin and MOTSc levels from the first to the second trimesters of pregnancy. After adjusting for predefined variables, including BMI, statistically nonsignificant associations between lower levels of humanin and the occurrence of a high HOMA-IR index were obtained (adjusted OR = 2.63 and 3.14 for the first and second trimesters, linear p-trend 0.260 and 0.175, respectively). Regarding MOTSc, an association was found only for the second trimester: adjusted OR = 7.68 (95% CI 1.49–39.67), linear p-trend = 0.012. No significant associations were observed in humanin change with insulin resistance throughout pregnancy, but changes in MOTSc levels were significantly associated with HOMA-IR index: adjusted OR 3.73 (95% CI 1.03–13.50). In conclusion, MOTSc levels, especially a strong decrease from the first to second trimester of gestation, may be involved in increasing insulin resistance during early gestation.