Metabolic disorders in pregnancy, particularly gestational diabetes mellitus (GDM), are associated with an increased risk for adverse pregnancy outcome and long-term cardiometabolic health of mother and child. This study analyzed changes of serum cholesterol synthesis and absorption markers during the course of high-risk pregnancies, with respect to the development of GDM. Possible associations of maternal lipid biomarkers with neonatal characteristics were also investigated. The study included 63 women with high risk for development of pregnancy complications. Size and proportions of small low-density (LDL) and high-density lipoprotein (HDL) particles were assessed across trimesters (T1–T3), as well as concentrations of cholesterol synthesis (lathosterol, desmosterol) and absorption markers (campesterol, β-sitosterol). During the study, 15 women developed GDM, while 48 had no complications (non-GDM). As compared to the non-GDM group, women with GDM had significantly higher triglycerides in each trimester, while having a lower HDL-C level in T3. In addition, they had significantly lower levels of β-sitosterol in T3 (p p p < 0.05) in maternal plasma in T1. In conclusion, high-risk pregnancies affected by GDM are characterized by altered cholesterol absorption and HDL maturation. Advanced lipid testing may indicate disturbed lipid homeostasis in GDM.