Gestational diabetes mellitus (GDM) is considered the most common metabolic disorder of the pregnancy period. It is characterized by pancreatic beta-cell dysfunction in the setting of chronic insulin resistance. Zinc is a nutrient involved in numerous metabolic processes and shows a relationship with glycometabolic disorders and GDM. The latest data have demonstrated the association of zinc with insulin sensitivity and resistance. The exact role of zinc in the connection with indexes of insulin resistance and insulin sensitivity is still not fully clarified. The aim of the study is to analyze the newly calculated indexes Glu/Zn, Ins/Zn, and HOMA-IR/Zn as surrogate markers to explore the correlation between serum zinc status and some indexes of insulin sensitivity and insulin resistance. The possible role of these indexes as markers of insulin resistance in pregnant women was analyzed too. An ROC analysis demonstrated that HOMA-IR/Zn with AUC 0.989, p < 0.001 (95% CI 0.967–1.000) and Ins/Zn with AUC 0.947, p < 0.001 (95% CI 0.889–1.000) in the GDM group, and only HOMA-IR/Zn index with AUC 0.953, p < 0.001 (95% CI 0.877–1.000) in healthy pregnant women, have good power as markers of insulin resistance in both groups. We speculate that these new ratios could be suitable for the assessment of pregnant women at high risk of insulin resistance development and, probably, for the evaluation of the specific pathophysiologic characteristics of women with GDM.