Gestational diabetes mellitus (GDM) is defined as glucose intolerance with onset or first recognition in the second or third trimester of pregnancy. GDM has a considerable impact on health outcomes of the mother and offspring during pregnancy, delivery, and beyond. Although the exact mechanism regarding GDM remains unclear, numerous studies have suggested that non-coding RNAs, including long non-coding (lnc)RNAs, microRNAs, and circular RNAs, were involved in the pathogenesis of GDM in which they played vital regulatory roles. Additionally, several studies have revealed that extracellular vehicles also participated in the pathogenesis of GDM, highlighting their important role in this disease. Considering the lack of effective biomarkers for the early identification of and specific treatment for GDM, non-coding RNAs and extracellular vehicles may be promising biomarkers and even targets for GDM therapies. This review provides an update on our understanding of the role of non-coding RNAs and extracellular vehicles in GDM. As our understanding of the function of lncRNAs and extracellular vehicles improves, the future appears promising for their use as potential biomarkers and treatment targets for GDM in clinical practice.