Objective To evaluate the correlation of the levels of fructosamine and of glycated hemoglobin (HbA1c) with the frequency of blood glucose self-monitoring values out of the treatment target range in pregnant women with diabetes mellitus. Methods We performed an observational, retrospective, cross-sectional study, including all pregnant women with diabetes who attended prenatal care visits at a tertiary teaching hospital during the year of 2014 and who presented at least 20 days of blood glucose self-monitoring prior to assessment of serum levels of fructosamine and HbA1c. Capillary blood glucose values out of the treatment target range were considered “hypoglycemia” when lower than 70 mg/dL and “hyperglycemia” when above the glycemic therapeutic target. We evaluated the correlation of the levels of fructosamine and of HbA1c with the frequencies of hyperglycemia and hypoglycemia recorded in the glucometer device by performing Tau-b of Kendall correlation tests. Next, linear regression tests were performed between the levels of HbA1c and of fructosamine and the frequencies of hypoglycemia and hyperglycemia. Results We included 158 pregnant women, from whom 266 blood samples were obtained for assessing fructosamine and HbA1c levels. Measurements of fructosamine and of HbA1c presented, respectively, Kendall's τ coefficient of 0.29 ( p < 0.001) and 0.50 ( p < 0.001) regarding the frequency of hyperglycemia, and of 0.09 ( p = 0.046) and 0.25 ( p < 0.001) regarding the frequency of hypoglycemia. In the linear regression model, levels of fructosamine and of HbA1c respectively presented determination coefficients R (2) = 0.265 ( p < 0.001) and R (2) = 0.513 ( p < 0.001) for the prediction of hyperglycemia, and R (2) = 0.033 ( p = 0.003) and R (2) = 0.059 ( p < 0.001) for the prediction of hypoglycemia. Conclusion Levels of fructosamine and of HbA1c presented a weak to moderate correlation with the frequencies of hyperglycemia and hypoglycemia at blood glucose self-monitoring and were not able to accurately translate the deviations from the glycemic goals in pregnant women with diabetes.