Gestational diabetes mellitus (GDM) is the most common metabolic complication in pregnancy, which affects the future health of both the mother and the newborn. Its pathophysiology involves nutritional, hormonal, immunological, genetic and epigenetic factors. Among the latter, it has been observed that alterations in DNA (deoxyribonucleic acid) methylation patterns and in the levels of certain micro RNAs, whether in placenta or adipose tissue, are related to well-known characteristics of the disease, such as hyperglycemia, insulin resistance, inflammation and excessive placental growth. Furthermore, epigenetic alterations of gestational diabetes mellitus are observable in maternal blood, although their pathophysiological roles are completely unknown. Despite this, it has not been possible to determine the causes of the epigenetic characteristics of GDM, highlighting the need for integral and longitudinal studies. Based on this, this article summarizes the most relevant and recent studies on epigenetic alterations in placenta, adipose tissue and maternal blood associated with GDM in order to provide the reader with a general overview of the subject and indicate future research topics.