Background: In this study, we aimed to investigate the incidence of gestational diabetes mellitus (GDM) in women who carried twin pregnancies and received vaginal progesterone. Methods: In this retrospective cohort study, 203 out of 1686 women with twin pregnancies received natural progesterone (200 mg/day between gestational weeks 16 + 0 and 36 + 0) vaginally for ≥ 4 weeks. The control group consisted of 1483 women with twin pregnancies without progesterone administration. Pearson’s Chi squared test, Fisher’s exact test, and Student’s t-test was used to compare differences between the control and the progesterone-treated groups. A multivariate binary logistic regression was performed to assess relative independent associations on the dependent outcome of GDM incidence. Results: Vaginal progesterone treatment in twin pregnancies had no significant influence on developing GDM (p = 0.662). Higher pre-pregnancy BMI (OR 1.1; p < 0.001), GDM in previous pregnancy (OR 6.0; p < 0.001), and smoking during pregnancy (OR 1.6; p = 0.014) posed an increased risk for developing GDM. Conclusion: In twin pregnancies, the use of vaginal progesterone for the prevention of recurrent preterm delivery was not associated with an increased risk of GDM.