Background There is increasing evidence that exposure to PM2.5 and its constituents is associated with an increased risk of gestational diabetes mellitus (GDM), but studies on the relationship between exposure to PM2.5 constituents and the risk of GDM are still limited. Methods A total of 17,855 pregnant women in Guangzhou were recruited for this retrospective cohort study, and the time-varying average concentration method was used to estimate individual exposure to PM2.5 and its constituents during pregnancy. Logistic regression was used to assess the relationship between exposure to PM2.5 and its constituents and the risk of GDM, and the expected inflection point between exposure to PM2.5 and its constituents and the risk of GDM was estimated using logistic regression combined with restricted cubic spline curves. Stratified analyses and interaction tests were performed. Results After adjustment for confounders, exposure to PM2.5 and its constituents (NO3−, NH4+, and OM) was positively associated with the risk of GDM during pregnancy, especially when exposure to NO3− and NH4+ occurred in the first to second trimester, with each interquartile range increase the risk of GDM by 20.2% (95% CI: 1.118–1.293) and 18.2% (95% CI. 1.107–1.263), respectively. The lowest inflection points between PM2.5, SO42−, NO3−, NH4+, OM, and BC concentrations and GDM risk throughout the gestation period were 18.96, 5.80, 3.22, 2.67, 4.77 and 0.97 µg/m3, respectively. In the first trimester, an age interaction effect between exposure to SO42−, OM, and BC and the risk of GDM was observed. Conclusions This study demonstrates a positive association between exposure to PM2.5 and its constituents and the risk of GDM. Specifically, exposure to NO3−, NH4+, and OM was particularly associated with an increased risk of GDM. The present study contributes to a better understanding of the effects of exposure to PM2.5 and its constituents on the risk of GDM.