The importance of overall diet in modifying circulating lipoprotein particles and fatty acids during pregnancy is unclear. We examined the relationships of diet quality as assessed by the validated Healthy Food Intake Index (HFII) with serum HDL, LDL and VLDL particle concentrations and sizes and proportions of serum fatty acids in pregnant women at high risk for gestational diabetes mellitus (GDM). Overall, 161 women with a BMI of ≥30 kg/m2 and/or a history of GDM were drawn from the Finnish Gestational Diabetes Prevention Study, which is a dietary and exercise intervention trial to prevent GDM. At baseline, the HFII score was inversely related to concentrations of HDL particles (P=0·010) and MUFA (P=0·010) and positively related to concentrations of n-3 (P<0·001) and n-6 (P=0·003) PUFA. The significance for MUFA disappeared after adjustments. An increase in the HFII score from the first to second trimester of pregnancy correlated with reduced VLDL particle size (r −0·16, 95 % CI −0·31, −0·01), decreased MUFA concentrations (r −0·17, 95 % CI −0·31, −0·01) and elevated n-6 PUFA concentrations (r 0·16, 95 % CI 0·01, 0·31). In the maximum-adjusted model, the results remained significant except for VLDL particle size. These findings suggest that higher diet quality as defined by the HFII is related to a more favourable serum fatty acid profile, whereas the relationship with serum lipoprotein profile is limited in pregnant women at increased GDM risk.