In the U.S., the marshmallow industry is dominated by two main companies: Kraft Foods Inc. and Doumak Inc. The good news is, both manufacture only gluten-free marshmallows.
Kraft makes Jet Puffed marshmallows in sizes ranging from mini (perfect for adding to your gluten-free hot chocolate) through jumbo (ideal for roasting over a campfire). Kraft marshmallows are widely available in stores we use them at my house.
Kraft will disclose all gluten-containing ingredients on its labels, and while it doesn't label its marshmallows specifically "gluten-free" or test them for trace gluten, they're not subject to gluten cross-contamination in production.
Doumak, meanwhile, makes only marshmallows, and all of its products are gluten-free. Campfire brand marshmallows are made by Doumak, and the company also makes marshmallows for private store brands, including Walmart's store brand and CVS Brand, according to a customer service representative.
Marshmallow Peeps Gluten-Free, Too
When it comes to marshmallows, many people also think of Marshmallow Peeps, once sold only around Easter but now produced in multiple shapes, colors and themes for many different holidays.
Peeps are made by Just Born, which labels them "gluten-free" unless they're made in a factory that also processes gluten-containing foods (see Just Born's gluten statement here). Therefore, you should rely on Peeps' packaging if it says "gluten-free," it's safe to eat.
Finally, if you're planning a classic campfire complete with s'mores, my article Gluten-Free S'mores explains where to get gluten-free graham crackers and chocolate bars. Enjoy!