Gestational diabetes mellitus (GDM) is associated with an increased risk of having a high-care newborn and has an impact on maternal wellbeing. This study aimed to assess the effect of GDM on the lactoferrin (LF), secretory immunoglobulin A (SIgA), immunoglobulin G (IgG), and immunoglobulin M (IgM) concentrations in early colostrum, colostrum, and transitional milk samples of hyperglycemic (n = 53) and normoglycemic (n = 49) mothers using enzyme-linked immunosorbent assay (ELISA). The concentrations of milk lactoferrin and SIgA, but not IgG and IgM, from hyperglycemic and normoglycemic mothers, showed a similar negative correlation with lactation from the first to the fifteenth day. Apart from early colostral IgG, there were no differences in concentrations of LF and immunoglobulins in milk from hyperglycemic and normoglycemic mothers. For hyperglycemia compensated by diet (GDM G1) or insulin treatment (GDM G2), slight differences were seen for LF and IgG, but not for SIgA and IgM, during an early stage of lactation only. Early colostral IgG and colostral LF of insulin-treated mothers were higher (10.01 ± 4.48 mg/L and 11.50 ± 0.58 g/L, respectively) than for diet-control diabetic mothers (7.65 ± 5.67 mg/L and 8.05 ± 1.38 g/L, respectively). GDM of mothers does not have a significant impact on immunological quality of early milk.