Background/objectives: Obese pregnant women are at high risk of developing gestational diabetes mellitus (GDM), which might be reduced by sufficient physical activity (PA) and reduced sedentary time (ST). We assessed whether PA and ST are longitudinally associated with the glucose-insulin axis in obese pregnant women. Subjects/methods: In this secondary analysis of the DALI (vitamin D And Lifestyle Intervention for gestational diabetes mellitus prevention) study, pregnant women, <20 weeks gestation, with a pre-pregnancy body mass index (BMI) ≥ 29 kg/m2, without GDM on entry were included. Time spent in moderate-to-vigorous PA (MVPA) and ST were measured objectively with accelerometers at <20 weeks, 24–28 weeks and 35–37 weeks of gestation. Fasting glucose (mmol/l) and insulin (mU/l), insulin resistance (HOMA-IR) and first-phase and second-phase insulin release (Stumvoll first and second phase) were assessed at the same time. Linear mixed regression models were used to calculate between-participant differences and within-participant changes over time. Analyses were adjusted for gestational age, randomisation, pre-pregnancy BMI, education and age. MVPA, Insulin, HOMA-IR and Stumvoll first and second phase were log-transformed for analyses due to skewness. Results: 232 women were included in the analysis. Concerning differences between participants, more ST was associated with higher fasting glucose (Estimate: 0.008; 95% CI: 0.002, 0.014), fasting insulin (0.011; 0.002, 0.019), HOMA-IR (0.012; 0.004, 0.021) and Stumvoll first and second phase (0.008; 0.001, 0.014 and 0.007; 0.001, 0.014). Participants with more MVPA had lower Stumvoll first and second phase (−0.137; −0.210, −0.064 and −0.133; −0.202, −0.063). Concerning changes over time, an increase in ST during gestation was associated with elevated Stumvoll first and second phase (0.006; 0.000, 0.011). Conclusions: As the glucose-insulin axis is more strongly associated with ST than MVPA in our obese population, pregnant women could be advised to reduce ST in addition to increasing MVPA. Moreover, our findings suggest that behaviour change interventions aiming at GDM risk reduction should start in early or pre-pregnancy.