Objectives: To investigate the importance of time in pregnancy and neonatal sex on the association between maternal metabolic parameters and neonatal sum of skinfolds. Methods: This was a longitudinal, secondary analysis of the vitamin D and lifestyle intervention for gestational diabetes mellitus study, conducted in nine European countries during 2012 to 2015. Pregnant women with a pre-pregnancy body mass index (BMI) of ≥29 kg/m2 were invited to participate. We measured 14 maternal metabolic parameters at three times during pregnancy: <20 weeks, 24 to 28 weeks, and 35 to 37 weeks of gestation. The sum of four skinfolds assessed within 2 days after birth was the measure of neonatal adiposity. Results: In total, 458 mother-infant pairs (50.2% female infants) were included. Insulin resistance (fasting insulin and HOMA-index of insulin resistance) in early pregnancy was an important predictor for boys' sum of skinfolds, in addition to fasting glucose and maternal adiposity (leptin, BMI and neck circumference) throughout pregnancy. In girls, maternal lipids (triglycerides and fatty acids) in the first half of pregnancy were important predictors of sum of skinfolds, as well as fasting glucose in the second half of pregnancy. Conclusions: Associations between maternal metabolic parameters and neonatal adiposity vary between different periods during pregnancy. This time-dependency is different between sexes, suggesting different growth strategies.