Gestational weight gain (GWG) is an important predictor of adverse pregnancy outcomes including gestational diabetes, preterm birth, delivery by caesarean and post‐partum weight retention. The Institute of Medicine guidelines on GWG are widely adopted, and GWG is widely researched as an outcome of interest in lifestyle interventions during pregnancy. However, estimation of prepregnancy weight and measurement of weight prior to delivery introduce bias into measures of GWG. This review discusses the sources of bias in measures of GWG and the potential effect of bias on the relationship between adverse pregnancy outcomes associated with GWG. Bias in measures of GWG can be minimized by using measured weight at the first antenatal appointment in early pregnancy rather than self‐reported prepregnancy weight and by adjusting for gestational age when the last weight is collected earlier than the delivery date. Bias owing to gestational age is an important potential confounder in the relationship between GWG and adverse pregnancy outcomes.