Mosquito coils are efficient mosquito repellents and mosquito coil smoke (MCS) contributes to indoor air pollution. However, no prior population-based study has investigated whether prenatal MCS exposure is a risk factor for preterm birth (PTB) and whether exposure to MCS in different trimesters of pregnancy is associated with different levels of risk. The sample involved 66,503 mother-child dyads. Logistic regression models were used to examine the relationships between prenatal MCS exposure during different trimesters of pregnancy and PTB. We found that prenatal MCS exposure was associated with a greater likelihood of PTB (OR = 1.12, 95%CI: 1.05-1.20). The prenatal MCS exposure during the first trimester was associated with 1.17 (95%CI: 1.09-1.25) times the odds of being PTB, which was higher than exposure during the second trimester (OR = 1.11, 95%CI: 1.03-1.19) and during the third trimester (OR = 1.08, 95%CI: 1.01-1.16). In the stratified analysis, prenatal MCS exposure significantly increased PTB risk among girls but not among boys. Our results indicated that maternal MCS exposure during pregnancy was associated with PTB and that the first trimester might be the sensitive period. In light of these findings, public health interventions are needed to reduce prenatal exposure to MCS, particularly during the first trimester of pregnancy.