Objective(s) There were three primary objectives of this study: (1) to estimate the risk of preterm and very preterm birth by severity of low pre-pregnancy body mass index (BMI), (2) to determine if the risk in preterm and very preterm birth by severity of low pre-pregnancy BMI differs for spontaneous versus medically indicated preterm delivery, and finally (3) to determine if there is a difference in the risk for preterm and very preterm birth by severity of low pre-pregnancy BMI across gradations of gestational weight gain. Study design This study utilized the Missouri maternally linked cohort files from 1989 to 1997. After restricting analyses to singleton live births (gestational age 20–44 weeks) and women with either a low or normal BMI, the final study population consisted of 437,403 births. Pre-pregnancy BMI was categorized as normal (19.5–24.9), mild thinness (17.0–18.5), moderate thinness (16.0–16.9) and severe thinness (≤15.9). Statistical analyses included chi-square tests and logistic regression with generalized estimating equations (GEE). Results Underweight mothers were more likely to experience a preterm delivery. For all preterm births, the risk among underweight mothers increased with ascending underweight severity ( p < 0.01). Higher risk estimates were observed for spontaneous than for medically indicated preterm birth. For each BMI category, extreme risk values for spontaneous preterm births were observed among women with very low gestational weight gain (<0.12 kg/week). Severely thin mothers with very low and very high pregnancy weight gain were at the greatest risk for spontaneous preterm birth. By contrast, underweight women with moderate gestational weight gain (0.23–0.68 kg/week) had the lowest risk for spontaneous preterm birth with the sole exception of moderately underweight gravidas. Conclusions These findings suggest that women with low or normal pre-pregnancy BMI should be counseled to maintain a moderate level of gestational weight gain (0.23–0.68 kg/week) in order to reduce their risk for preterm birth. Further, our observation that severity of low pre-pregnancy BMI was associated directly (in a dose–response pattern) with preterm birth highlights the importance of preconceptional counseling for women—specifically the importance of women achieving or maintaining a normal weight status prior to pregnancy.