BACKGROUND: Despite extensive evaluation, our understanding of risk factors for premature delivery is incomplete. OBJECTIVE: To examine whether a woman’s health status and risk factors before pregnancy are associated with a woman’s risk of preterm delivery, independent of risk factors that occur during pregnancy. DESIGN, SETTING, AND PARTICIPANTS: Prospective cohort of pregnant women in the San Francisco Bay area who delivered a singleton infant (n = 1619). MAIN OUTCOME MEASURE: Preterm delivery (37 weeks’ gestational age). RESULTS: Sociodemographic characteristics alone explained 13.0% of the risk of preterm delivery, whereas risk factors that occurred before pregnancy explained 39.8% and risk factors that occurred during pregnancy explained 47.1%. After we adjusted for sociodemographic characteristics, prepregnancy risk factors, and pregnancy risk factors, women who reported poor physical function during the month before conception were nearly twice as likely to experience a preterm delivery (odds ratio, 1.97; 95% confidence interval, 1.18-3.30) as women with better physical function. CONCLUSION: A broader focus on the health of women prior to pregnancy may improve rates of preterm delivery.