Prior research has linked exposure to particulate matter with an aerodynamic diameter of ≤2.5 μm (PM2.5) with preterm birth (PTB). However, the modulating effect of preconception thyroid stimulating hormone (TSH) levels on the relationship between PM2.5 exposure and PTB has not been investigated. This study aimed to assess whether preconception TSH levels modulate the impact of PM2.5 exposure on PTB. This cohort study was conducted in Guangdong, China, as a part of the National Free Pre-Pregnancy Checkups Project. PM2.5 exposure was estimated by using the inverse distance weighting method. To investigate the moderating effects of TSH levels on trimester-specific PM2.5 exposure and PTB, we used the Cox proportional hazards model. Additionally, to identify the susceptible exposure windows for weekly specific PM2.5 exposure and PTB, we built distributed lag models incorporating Cox proportional hazards models. A total of 633,516 women who delivered between January 1, 2014, to December 31, 2019, were included. In total, 34,081 (5.4%) of them had abnormal preconception TSH levels. During the entire pregnancy, each 10-μg/m3 increase in PM2.5 was linked to elevated risks of PTB (hazard ratio [HR] 1.559, 95% CI 1.390-1.748), early PTB (HR 1.559, 95% CI 1.227-1.980), and late PTB (HR 1.571, 95% CI 1.379-1.791) among women with abnormal TSH levels. For women with normal preconception TSH levels, PM2.5 exposure during the entire pregnancy was positively associated with the risk of PTB (HR 1.345, 95% CI 1.307-1.385), early PTB (HR 1.203, 95% CI 1.126-1.285), and late PTB (HR 1.386, 95% CI 1.342-1432). The critical susceptible exposure windows were the 3rd-13th and 28th-35th gestational weeks for women with abnormal preconception TSH levels, compared to the 1st-13th and 21st-35th gestational weeks for those with normal preconception TSH levels. PM2.5 exposure was linked with a higher PTB risk, particularly in women with abnormal preconception TSH levels. PM2.5 exposure appears to have a greater effect on pregnant women who are in the early or late stages of pregnancy.