Background: Inflammatory response state is related to the pathogenesis of gestational diabetes mellitus (GDM). Objective: To investigate the changes of serum sex hormone-binding globulin (SHBG), homocysteine (Hcy), and hypersensitive CRP (hs-CRP) levels during pregnancy and their relationship with GDM. Methods: The nested case-control study method was used. Sixty nonobese single pregnant women diagnosed with GDM were divided into the GDM group (GDM, n = 60), together with another 60 pregnant women with normal glucose tolerance who were matched in the same period and divided into the control group (control, n = 60). The serum Hcy, hs-CRP, and SHBG levels were measured. Results: The serum levels of Hcy and hs-CRP were significantly higher in the GDM group compared with the control group, and serum levels of SHBG was significantly lower in the GDM group compared with the control group at different stages of pregnancy. The serum levels of Hcy and hs-CRP in pregnant women increased with the increase of gestational age, and serum levels of SHBG decreased with the increase of gestational age. Increased Hcy and hs-CRP levels in the second trimester and decreased SHBG levels in the first trimester were related to GDM. The odds ratio (OR) and 95% confidence interval (CI) were as follows: OR: 4.5, 95% CI: 1.5–13.0; OR: 4.2, 95% CI: 1.5–10.1; and OR: 0.4, 95% CI: 0.3–0.7, respectively. Conclusion: Increased Hcy and hs-CRP in the second trimester and decreased SHBG in the first trimester were independent predictors of GDM, which provides a new idea for early prevention and treatment of GDM.