Aim/Hypothesis: This cross-sectional, observational, controlled study examined cerebral oxygenation during exercise, an index of cerebrovascular function and cortical activation, in pregnancies complicated by gestational diabetes mellitus (GDM) and unaffected pregnancies. The association of cerebral oxygenation with macrovascular and cardiovascular function indices was also evaluated. Material and Methods: Vascular function and structure [aortic pulse-wave-velocity (PWV), augmentation index (AI), carotid intima-media thickness], as well as 24-hour ambulatory blood pressure (BP) were assessed in women with GDM (n = 21) and uncomplicated pregnancies (n = 16), at 26–32 gestational weeks. Changes in cerebral oxygenation [oxy- (O2Hb), deoxy- (HHb) and total- (tHb) hemoglobin] were continuously recorded by near-infrared spectroscopy (NIRS) during intermittent handgrip exercise. Beat-by-beat BP and systemic vascular resistance (SVR) were assessed (Finapres). Results: Women with GDM had higher AI than controls. During exercise, women with GDM maintained a smaller force (p < 0.05), despite similar ratings of perceived exertion. Despite similar increases in BP during exercise, the GDM group exhibited a lower average and total (AUC) increase in cerebral-O2Hb than controls (p < 0.05). In addition, GDM exhibited a slower rate of cerebral-O2Hb decay during recovery (p < 0.05). SVR was lower in GDM compared to controls throughout the protocol (p < 0.01). Cerebral oxygenation indices were correlated with PWV and AI (p < 0.05). Conclusions: This study provided novel evidence for blunted cerebral oxygenation during exercise in women with GDM compared to uncomplicated pregnancies, suggesting a link between reduced cerebrovascular function with exercise intolerance in GDM. Cerebral oxygenation during physical stress was correlated with macrovascular function and cardiovascular risk factors. More studies are needed to examine whether this impaired cerebral oxygenation reflects early cerebrovascular disease.