(1) Background: Clinical practice guidelines recommend dietary and physical activity counselling for pregnant women with gestational diabetes (GDM). The aim of this study was to evaluate the extent to which a history of GDM and living with overweight before pregnancy modify dietary quality and physical activity during pregnancy. (2) Methods: The study is a cross-sectional study of 1034 pregnant women from different parts of Finland. The data were collected through electronic questionnaires. Dietary quality and physical activity were measured with stand-alone indices and compared according to the history of GDM and overweight status based on body mass index (BMI) category. (3) Results: Overall, 53% of the women had a poor dietary quality (Index of Diet Quality (IDQ) score < 10) and 45% a light physical activity level. The IDQ score or physical activity levels did not differ between women with and without a history of GDM. Instead, in women with overweight/obesity both the IDQ score and physical activity levels were lower compared to their normal-weight counterparts (p < 0.001). (4) Conclusions: Pregnant women, particularly if living with overweight, commonly have a poor dietary quality and a light level of physical activity. A history of GDM is not reflected in the lifestyle habits, despite the assumption that they have received lifestyle counselling during a previous pregnancy. Pregnant women would benefit from new means to promote healthy lifestyle changes.