BACKGROUND: The literature on the association between fine particulate matter (PM2.5) exposure and gestational diabetes mellitus (GDM) risk has focused mainly on exposure during the first and second trimesters, and the research results are inconsistent. Therefore, this study aimed to investigate the associations between PM2.5 exposure during preconception, the first trimester and second trimester and GDM risk in pregnant women in Guangzhou. METHODS: A retrospective cohort study of 26 354 pregnant women was conducted, estimating PM2.5, particulate matter with a diameter >10 µm (PM10), sulphur dioxide (SO2), carbon monoxide (CO) and ozone (O3) exposure during preconception and the first and second trimesters. Analyses were performed using Cox proportional hazards models and nonlinear distributed lag models. RESULTS: The study found that exposure to PM2.5 or a combination of two pollutants (PM2.5+PM10, PM2.5+SO2, PM2.5+CO and PM2.5+O3) was found to be significantly associated with GDM risk (P < 0.05). In the second trimester, with significant interactions found for occupation and anaemia between PM2.5 and GDM. When the PM2.5 concentrations were ≥19.56, ≥25.69 and ≥23.87 μg/m3 during preconception and the first and second trimesters, respectively, the hazard ratio for GDM started to increase. The critical window for PM2.5 exposure was identified to be from 9 to 11 weeks before conception. CONCLUSIONS: Our study results suggest that PM2.5 exposure during preconception and the first and second trimesters increases the risk of GDM, with the preconception period appearing to be the critical window for PM2.5 exposure.