Background: As pregnancy progresses, insulin sensitivity (SI) might slowly decrease to 50% of the average value, which could result in gestational diabetes. As weight gain is associated with reduced SI and vice versa, we evaluated the possible correlation between nutritional status and SI, especially in early pregnancy. Methods: This cross-sectional study was conducted on 138 healthy primiparous women between 6 and 10 weeks of gestation. By using a researcher-made questionnaire, the characteristics of the participants were gathered. A digital scale was used to measure participants’ weights. Nutrient intake was estimated based on the 72-hour dietary recall by Nutritionist 4 software. We used the pregnancy physical activity scale to estimate physical activity. In addition, fasting plasma glucose (FPG) and insulin values were included in the relevant formula to calculate the quantitative index of SI. Results: After adjusting for significant maternal characteristics, the quantitative insulin sensitivity check index (QUICKI) in the first trimester was correlated with participants’ weight and household income. Furthermore, the QUICKI index had a significant inverse relationship with saturated and polyunsaturated fatty acids (PUFAs) intake while total fat intake was positively correlated. Also, consuming vitamin C, glucose, fructose, sugar, and carbohydrates increased the QUICKI index, while vitamin E intake decreased it. Conclusion: The results showed that weight management may prevent gestational diabetes mellitus (GDM) during the first trimester. Moreover, the significant correlation between the above-mentioned nutrients and household income with the QUICKI index can be further examined in future studies.