Gestational diabetes mellitus (GDM) is associated with an increased risk for maternal and fetal complications. Patients with GDM have an increased cardiovascular risk in later life. The aim of this study was to investigate cardiac autonomic nervous system (ANS) function at rest and during exercise in women with GDM vs. women with uncomplicated pregnancies. Thirty-six normotensive pregnant women (21 with GDM and 15 age- and parity-matched women with an uncomplicated pregnancy) were enrolled in this case-control study. Continuous beat-by-beat blood pressure (BP) measurements were recorded during rest, intermittent handgrip exercise, and recovery (via photoplethysmography, Finapres®). Heart rate variability (HRV) (Kubios®) was used for the assessment of autonomic nervous system function. The groups were similar in age, gestational week, and handgrip strength. At rest, no differences in HRV indices [root mean square of successive differences (RMSSD), standard deviation Poincaré plot 1, and 2 (SD1, SD2), SD2/SD1 ratio] were detected between women with GDM and women with an uncomplicated pregnancy. However, during exercise, a different pattern in the HRV responses was detected: in the control group, RMSSD and SD1 (indices of parasympathetic function) significantly decreased (p < 0.001) during handgrip exercise and returned to baseline during recovery. In contrast, in GDM, the above HRV indices remained unaltered throughout the protocol. Normotensive women with GDM present impaired parasympathetic system ability to adapt to an exercise stimulus, as suggested by the blunted sensitivity in RMSSD and SD1. This finding suggests early alterations in ANS may exist in women with GDM, even when no differences are detected in resting conditions.