Purpose of Review: The DALI (vitamin D and lifestyle intervention in the prevention of gestational diabetes mellitus (GDM)) study aimed to prevent GDM with lifestyle interventions or Vitamin D supplementation (1600 IU/day). This review summarizes the learnings from the DALI studies among pregnant women with a BMI ≥ 29 kg/m2. Recent Findings: Women diagnosed with GDM earlier in pregnancy had a worse metabolic profile than those diagnosed later. A combined physical activity (PA) and healthy eating (HE) lifestyle intervention improved both behaviours, limited gestational weight gain (GWG) and was cost-effective. Although GDM risk was unchanged, neonatal adiposity was reduced due to less sedentary time. Neither PA nor HE alone limited GWG or GDM risk. Fasting glucose was higher with HE only intervention, and lower with Vitamin D supplementation. Summary: Our combined intervention did not prevent GDM, but was cost-effective, limited GWG and reduced neonatal adiposity.