(1) Background: Diabetes mellitus (DM) induces oxidative stress and inflammation with negative effect on pregnancy outcomes. This study aimed to determine whether DM increases the risk of pregnancy loss and to identify other potential risk factors; (2) Methods: We identified female patients diagnosed with DM from 2000–2015 in the Taiwanese National Health Insurance Research Database according to the International Classification of Diseases, Ninth Edition, Clinical Modification (ICD-9 CM) code 250. The event was pregnancy loss, defined as ICD-9 CM codes 630–639, which was tracked until 31 December 2015. The control group included 4-fold more non-DM female patients who were matched for age and disease severity. Multivariate Cox regression was employed to determine the risk factors associated with pregnancy loss; (3) Results: The hazard ratio (HR) for the risk of pregnancy loss due to DM was 1.407 (95% confidence interval: 1.099–1.801, p = 0.007), and the risk factors for older age, gynecological disorders and inflammation disorders were included. (4) Conclusions: The study concluded that women with DM have a greater risk of experiencing pregnancy loss. Healthcare providers should proactively manage and educate diabetic patients to reduce their risk of pregnancy loss. Understanding other probable risk factors can help in developing targeted interventions and support systems for women to improve pregnancy outcomes.