Background: This study explored the association between ApaI–TaqI Single Nucleotide Polymorphisms (SNPs) in a Vitamin D receptor (VDR) and the risk of Gestational Diabetes Mellitus (GDM) in Saudi women, along with the serum levels of vitamin D. Methods: Ninety women with GDM and 90 non-GDM women were enrolled, based on the inclusion and exclusion criteria for pregnant women enrolled in a single-center study. Blood samples were retrieved from 180 pregnant women using ethylenediaminetetraacetic acid (EDTA) tubes. Serum samples were used to measure the vitamin D, 25-hydroxyvitamin D (25(OH)D or calcidiol), and lipid profiles. Blood was used to measure the hemoglobin A1c levels and to isolate the DNA. The polymerase chain reaction (PCR) was performed for the ApaI (rs79785232), BsmI (rs1544410), FokI (rs2228570), and TaqI (rs731236) SNPs in the VDR gene using restriction fragment length polymorphism analysis. Validation was performed using Sanger sequencing. Statistical analyses were performed between the patients with and without GDM using various statistical software packages. Results: The Hardy–Weinberg equilibrium analysis was statistically significant (p > 0.05). The ApaI, BsmI, and TaqI SNPs were associated with alleles, genotypes, and different genetic models (p < 0.05). Vitamin D levels were associated with deficient levels (p = 0.0002), as well as with a normal and overweight body mass index (p = 0.0004). When vitamin D levels were measured with GDM covariates, the fasting plasma glucose (FPG) (p = 0.0001), postprandial blood glucose (PPBG) (p < 0.0001), oral glucose tolerance test (OGTT)-1 h (p = 0.005), high-density lipoprotein (p = 0.022), and low-density lipoprotein cholesterol (LDLc) (p = 0.001) levels were significantly different. When similar vitamin D levels were measured for each genotype, we confirmed that the ApaI SNP was associated with sufficient levels (p < 0.0001), whereas the BsmI, FokI, and TaqI (p < 0.05) were associated with insufficient levels. The logistic regression model confirmed that the first hour of the OGTT (p = 0.005) was strongly associated with GDM, whereas the analysis of variance confirmed that FPG and PPBG (p < 0.05) were strongly associated with all the SNPs evaluated in the VDR gene. Additionally, the second hour of the OGTT (p = 0.048) and LDLc (p = 0.049) were associated with the ApaI and FokI SNP. Moreover, the first hour OGTT (p = 0.045) and lipid profile parameters (p < 0.05) were associated. Haplotype analysis revealed positive associations among the examined SNPs, which seemed compatible with the hypothesis that variants and combinations of multiple SNP genotypes enhance the risk of GDM in women. Haplotype analysis revealed that different combinations of alleles, such as AGCC, CATT, CGTC, AGTC, and CATT (p < 0.05), were strongly associated. The linkage disequilibrium (LD) analysis showed a strong association with all combinations (p < 0.05). Among the gene–gene interactions, all possible combinations showed a positive association (p < 0.05). Conclusions: Low vitamin D levels were observed in women with GDM. The ApaI, BsmI, and TaqI SNPs were associated with genotype and allele frequencies (p < 0.05). Vitamin D and the SNPs in the VDR gene were associated, according to the ANOVA, logistic regression, haplotype analysis, LD analysis, and the generalized multifactor dimensionality reduction model (p < 0.05).