(1) Background: The aim of this work is to investigate the extent to which pregnant women’s well-being is burdened by the diagnosis of gestational diabetes, as well as their sensitivities and illness perceptions. Since gestational diabetes is associated with mental disorders, we hypothesized that the burden of illness might be related to pre-existing mental distress. (2) Methods: Patients treated for gestational diabetes in our outpatient clinic were retrospectively asked to complete a survey, including the self-designed Psych-Diab-Questionnaire to assess treatment satisfaction, perceived limitations in daily life and the SCL-R-90 questionnaire to assess psychological distress. The association between mental distress and well-being during treatment was analyzed. (3) Results: Of 257 patients invited to participate in the postal survey, 77 (30%) responded. Mental distress was found in 13% (n = 10) without showing other relevant baseline characteristics. Patients with abnormal SCL-R-90 scores showed higher levels of disease burden, were concerned about glucose levels as well as their child’s health, and felt less comfortable during pregnancy. (4) Conclusions: Analogous to the postpartum depression screening, screening for mental health problems during pregnancy should be considered to target psychologically distressed patients. Our Psych-Diab-Questionnaire has been shown to be suitable to assess illness perception and well-being.