<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0306</schemaVersion>

    <documentType>4</documentType>

    <periodOfReport>2015-02-26</periodOfReport>

    <notSubjectToSection16>1</notSubjectToSection16>

    <issuer>
        <issuerCik>0001292426</issuerCik>
        <issuerName>GFI Group Inc.</issuerName>
        <issuerTradingSymbol>GFIG</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001315674</rptOwnerCik>
            <rptOwnerName>Cassoni Marisa</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O GFI GROUP INC.</rptOwnerStreet1>
            <rptOwnerStreet2>55 WATER STREET</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10041</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>1</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>0</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeTransaction>
            <securityTitle>
                <value>Common Stock</value>
            </securityTitle>
            <transactionDate>
                <value>2015-02-26</value>
            </transactionDate>
            <transactionCoding>
                <transactionFormType>4</transactionFormType>
                <transactionCode>U</transactionCode>
                <equitySwapInvolved>0</equitySwapInvolved>
                <footnoteId id="F1"/>
            </transactionCoding>
            <transactionAmounts>
                <transactionShares>
                    <value>211239</value>
                </transactionShares>
                <transactionPricePerShare>
                    <value>6.10</value>
                </transactionPricePerShare>
                <transactionAcquiredDisposedCode>
                    <value>D</value>
                </transactionAcquiredDisposedCode>
            </transactionAmounts>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>0</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>D</value>
                </directOrIndirectOwnership>
            </ownershipNature>
        </nonDerivativeTransaction>
    </nonDerivativeTable>

    <derivativeTable></derivativeTable>

    <footnotes>
        <footnote id="F1">The shares of common stock were disposed of pursuant to the tender offer by BGC Partners, L.P., an operating subsidiary of BGC Partners, Inc., to purchase all outstanding shares of common stock of the Issuer, as set forth in the Amended and Restated Offer to Purchase included in the Tender Offer Statement on Schedule TO filed with the Securities and Exchange Commission on October 22, 2014, as amended, for a price of $6.10 per share.</footnote>
    </footnotes>

    <ownerSignature>
        <signatureName>Christopher D'Antuono, Attorney-in-fact</signatureName>
        <signatureDate>2015-03-02</signatureDate>
    </ownerSignature>
</ownershipDocument>
