There is inconsistent evidence that healthy dietary interventions can effectively mitigate the risk of adverse outcomes associated with elevated insulin resistance in pregnancy, suggesting that other moderating factors may be at play. Maternal psychological state is an important factor to consider in this regard, because stress/mood state can directly influence glycemia and a bidirectional relationship may exist between nutrition and psychological state. The objective of this study was to examine the interaction between maternal negative affect and diet quality on third trimester insulin resistance. We conducted a prospective longitudinal study of N = 203 women with assessments in early and mid-pregnancy, which included an ecological momentary assessment of maternal psychological state, from which a negative affect score (NAS) was derived, and 24-h dietary recalls, from which the Mediterranean Diet Score (MDS) was computed. The homeostasis model assessment of insulin resistance (HOMA-IR) was computed from third trimester fasting plasma glucose and insulin values. Early pregnancy MDS was inversely associated with the HOMA-IR, but this did not maintain significance after adjusting for covariates. There was a significant effect of the mid-pregnancy MDS*NAS interaction term with the HOMA-IR in the adjusted model, such that a higher negative affect was found to override the beneficial effects of a Mediterranean diet on insulin resistance. These results highlight the need to consider nutrition and affective state concurrently in the context of gestational insulin resistance.