In women with previous gestational diabetes (pGDM), the risk of developing Type 2 diabetes is greatly increased, to the point that GDM represents an early stage in the natural history of Type 2 diabetes. In addition, in the years following the index pregnancy, women with pGDM exhibit an increased cardiovascular risk profile and an increased incidence of cardiovascular disease. This paper will review current knowledge on the metabolic modifications that occur in normal pregnancy, underlining the mechanism responsible for GDM, the link between these alterations and the associated long-term maternal complications. In women with pGDM, accurate follow-up and prevention strategies (e.g., weight control and regular physical exercise) are needed to reduce the subsequent development of overt diabetes and other metabolic abnormalities related to cardiovascular disease. Therefore, our paper will provide arguments in favor of performing follow-up programs aimed at modifying risk factors involved in the pathogenesis of Type 2 diabetes and cardiovascular disease.