In a previous study performed by our group, pregnant women with Gestational Diabetes (GDM) showed higher vitamin D (VitD) levels in the last trimester, particularly in those requiring insulin. This phenomenon was not linked to factors like season or supplementation. This study aimed to investigate if insulin treatment in GDM affects DNA methylation in VitD metabolism genes. Thirty-two pregnant women were selected, half of whom had GDM, and were divided into insulin-treated and lifestyle groups. The DNA methylation levels in CpGs from 47 VitD metabolism-related genes were analyzed at the diagnostic visit (24–28 weeks) and before delivery. At week 36–38 of pregnancy, twenty-six CpG sites were differentially methylated (DMPs) in the insulin-treated group compared with the control group and the lifestyle group. Twenty-two of these DMPs were not different at the diagnostic visit. Six CpGs (cg18276810 (CTNNB1), cg03919554 (FGFR3), cg03984919 (NCOA1), cg19218509 (ASIP), cg09922639 (SMAD3), and cg25356935 (PDZD3)) showed significant correlations with VitD levels, not only before childbirth, but also in the postpartum period and at one year later. This suggests that insulin treatment in GDM could influence DNA methylation in genes involved in vitamin D metabolism, affecting VitD levels during and after pregnancy. Further research is warranted to elucidate these findings’ clinical implications.