Purpose: This study examined the mediating effect of anxiety on the relationship between fatigue and antenatal depression in women with advanced maternal age and gestational diabetes mellitus (GDM). Methods: A descriptive correlational study was conducted using secondary data from 163 primiparous women aged ≥35 years with GDM. Data collected from October 2021 to February 2022 were analyzed using SPSS 29.0 with descriptive statistics, t-test, ANOVA, Pearson correlations, and PROCESS macro model 4 for mediation analysis. Results: Mean scores were 26.84±5.98 for fatigue, 49.82±5.22 for anxiety, and 9.63±5.29 for antenatal depression. Fatigue was significantly correlated with anxiety (r=.278, p<.001) and antenatal depression (r=.325, p<.001), while anxiety was correlated with antenatal depression (r=.187, p=.017). Mediation analysis revealed that while fatigue significantly affected anxiety (β=0.29, p<.001), anxiety did not significantly affect antenatal depression when fatigue was controlled for (β=0.11, p=.178). Fatigue had a significant direct effect on antenatal depression (β=0.22, p=.002), but the mediating pathway through anxiety was not supported (β=0.03). The incidence of antenatal depression differed significantly by occupation, hospitalization experience, and perceived health status. Conclusion: While anxiety did not mediate the association between fatigue and antenatal depression, the observed direct effect indicates that fatigue management should be considered when developing mental health support strategies for women of advanced maternal age with GDM, with early screening and intensive management of high-risk groups.