Stress and depression have been reported in gestational diabetes mellitus (GDM). Though inflammation and oxidative stress are associated with depression, there are no reports of link of cardiometabolic risks (CMR) to stress and depression in GDM. Normal pregnant women (control group, n = 164) and women with GDM (study group, n = 176) at 36th week of gestation were recruited for the study. Blood pressure (BP), body composition, heart rate variability (HRV), glycated hemoglobin (HbA1C), markers of insulin resistance, oxidative stress, inflammation and endothelial dysfunction, were assessed. Perceived stress score (PSS), quality of life (QoL) scale, Indian diabetic risk score (IDRS) and Edinburg postnatal depression score (EPDS) were assessed. Association of potential contributors to PSS and EDPS were assessed by correlation and regression analyses. There was significant increase in PSS, EPDS, IDRS scores, HbA1C, malondialdehyde (MDA) (oxidative stress marker) and high-sensitive C-reactive protein and interleukin-6 (inflammatory markers), and significant decrease in total power (TP) of HRV (marker of cardiovagal modulation), QoL and nitric oxide (endothelial dysfunction marker) in study group compared to control group. Though many cardiometabolic risk parameters were correlated with PSS and EPDS, the significant independent association was observed for TP, HbA1C, MDA and interleukin-6. However, interleukin-6 had maximum contribution to PSS (β = 0.550,p< 0.001) and EPDS (β = 0.393,p< 0.001) as demonstrated by multiple regression analysis. Inflammation, oxidative stress, glycation status and decreased cardiovagal modulation are associated with stress and depression at 36th week of gestation in GDM.